Trend-Following Backtester · Guide · backtest 한국어
equity · US
Par Pacific Holdings, Inc. Common Stock backtest
10 trend-following strategies were compared on the full daily history of Par Pacific Holdings, Inc. Common Stock. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 41.9%, drawdown -78.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 34.2%, MDD -62.8%, Sharpe 0.78, 85% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=6, exitN=59 |
34.2% | -62.8% | 0.78 | 0.54 | 61.3x | 43 | 85% |
| Supertrend period=6, mult=4 |
27.5% | -44.6% | 0.68 | 0.62 | 30.0x | 58 | 54% |
| SMA 크로스오버 fast=35, slow=107 |
17.4% | -47.9% | 0.65 | 0.36 | 9.5x | 33 | 58% |
| Parabolic SAR step=0.005, maxStep=0.34 |
25.9% | -67.2% | 0.64 | 0.38 | 24.9x | 114 | 51% |
| ROC 모멘텀 n=118, threshold=0.01 |
16.7% | -58.8% | 0.63 | 0.28 | 8.7x | 103 | 57% |
| EMA 크로스오버 fast=17, slow=131 |
16.5% | -60.7% | 0.62 | 0.27 | 8.4x | 27 | 58% |
| MACD fast=16, slow=26, signal=12 |
14.7% | -60.4% | 0.57 | 0.24 | 6.8x | 192 | 50% |
| 볼린저 밴드 돌파 n=20, k=2.7 |
9.3% | -31.7% | 0.55 | 0.29 | 3.5x | 60 | 18% |
| ADX / DI 방향성 period=9, threshold=37 |
7.6% | -27.1% | 0.49 | 0.28 | 2.8x | 98 | 14% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=16, mult=1.7 |
8.5% | -46.3% | 0.44 | 0.18 | 3.1x | 102 | 29% |
| Buy and hold | 41.9% | -78.5% | 0.78 | 0.53 | 132.9x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 59 days