Trend-Following Backtester · Guide · backtest 한국어
equity · US
PBF Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of PBF Energy Inc.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.7%, MDD -45.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.7%, drawdown -92.0%).
Sharpe leader (same as main): MACD — CAGR 25.3%, MDD -54.7%, Sharpe 0.72, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 17.6%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 20.7%, MDD -45.4%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=10, slow=42, signal=12 |
25.3% | -54.7% | 0.72 | 0.46 | 21.7x | 203 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
21.8% | -68.8% | 0.67 | 0.32 | 14.6x | 121 | 51% |
| Supertrend period=8, mult=2.6 |
20.7% | -45.4% | 0.67 | 0.46 | 13.0x | 103 | 51% |
| SMA 크로스오버 fast=34, slow=105 |
17.8% | -61.8% | 0.61 | 0.29 | 9.3x | 31 | 51% |
| 볼린저 밴드 돌파 n=29, k=1.5 |
15.4% | -59.4% | 0.56 | 0.26 | 7.0x | 117 | 41% |
| Donchian 채널 돌파 entryN=62, exitN=72 |
14.3% | -61.8% | 0.53 | 0.23 | 6.2x | 23 | 54% |
| EMA 크로스오버 fast=6, slow=132 |
13.5% | -57.9% | 0.52 | 0.23 | 5.6x | 61 | 49% |
| ROC 모멘텀 n=15, threshold=-0.01 |
11.9% | -74.3% | 0.47 | 0.16 | 4.7x | 321 | 55% |
| ADX / DI 방향성 period=11, threshold=19 |
10.8% | -63.2% | 0.46 | 0.17 | 4.0x | 251 | 43% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=16, mult=1.5 |
9.5% | -51.6% | 0.43 | 0.18 | 3.5x | 81 | 37% |
| Buy and hold | 7.7% | -92.0% | 0.43 | 0.08 | 2.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (10/42) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line