Trend-Following Backtester · Guide · backtest 한국어
equity · US
Occidental Petroleum Corporation backtest
10 trend-following strategies were compared on the full daily history of Occidental Petroleum Corporation. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 3.0%, MDD -62.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.8%, drawdown -92.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.2%, MDD -82.2%, Sharpe 0.29, 76% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 9.8%p (CAGR 3.0%, MDD -62.4%, exposure 54%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=47 |
4.2% | -82.2% | 0.29 | 0.05 | 6.3x | 181 | 76% |
| ROC 모멘텀 n=160, threshold=-0.1 |
3.9% | -75.1% | 0.28 | 0.05 | 5.5x | 263 | 75% |
| SMA 크로스오버 fast=66, slow=214 |
3.0% | -81.2% | 0.24 | 0.04 | 3.8x | 61 | 57% |
| Supertrend period=8, mult=4.6 |
3.0% | -62.4% | 0.24 | 0.05 | 3.8x | 145 | 54% |
| EMA 크로스오버 fast=13, slow=122 |
2.4% | -62.7% | 0.22 | 0.04 | 2.8x | 159 | 55% |
| ADX / DI 방향성 period=29, threshold=22 |
1.0% | -34.6% | 0.14 | 0.03 | 1.5x | 78 | 9% |
| 볼린저 밴드 돌파 n=32, k=2.9 |
1.0% | -57.6% | 0.14 | 0.02 | 1.6x | 94 | 12% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.9% | -85.6% | 0.04 | -0.02 | 0.4x | 381 | 52% |
| MACD fast=20, slow=25, signal=21 |
-2.1% | -84.6% | 0.04 | -0.02 | 0.4x | 541 | 50% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=24, mult=2.5 |
-1.0% | -75.1% | 0.03 | -0.01 | 0.6x | 195 | 27% |
| Buy and hold | 3.8% | -92.0% | 0.29 | 0.04 | 5.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 47 days