Trend-Following Backtester · Guide · backtest 한국어
equity · US
Permian Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of Permian Resources Corporation. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.0%, MDD -35.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.6%, drawdown -98.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 43.6%, MDD -55.3%, Sharpe 0.97, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 36.0%p higher than buy and hold, while drawdown improves by 43.6%p (CAGR 18.0%, MDD -35.2%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.005, maxStep=0.24 |
43.6% | -55.3% | 0.97 | 0.79 | 41.3x | 87 | 49% |
| MACD fast=16, slow=39, signal=15 |
40.8% | -70.9% | 0.90 | 0.58 | 33.8x | 111 | 53% |
| Supertrend period=8, mult=2 |
35.5% | -64.6% | 0.87 | 0.55 | 22.8x | 124 | 50% |
| 볼린저 밴드 돌파 n=19, k=2 |
31.7% | -46.8% | 0.85 | 0.68 | 17.0x | 98 | 33% |
| Donchian 채널 돌파 entryN=68, exitN=71 |
26.6% | -48.1% | 0.80 | 0.55 | 11.4x | 16 | 56% |
| ADX / DI 방향성 period=38, threshold=22 |
18.0% | -35.2% | 0.79 | 0.51 | 5.5x | 10 | 14% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=8, mult=1.2 |
26.7% | -62.3% | 0.78 | 0.43 | 11.4x | 118 | 32% |
| ROC 모멘텀 n=148, threshold=-0.07 |
25.1% | -63.8% | 0.73 | 0.39 | 10.0x | 79 | 64% |
| EMA 크로스오버 fast=46, slow=88 |
22.3% | -50.1% | 0.70 | 0.44 | 7.9x | 23 | 58% |
| SMA 크로스오버 fast=36, slow=205 |
17.5% | -51.6% | 0.61 | 0.34 | 5.3x | 13 | 51% |
| Buy and hold | 7.6% | -98.9% | 0.48 | 0.08 | 2.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots