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 17.8%, MDD -35.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.4%, drawdown -98.9%).
Sharpe leader (same as main): Parabolic SAR — CAGR 44.4%, MDD -55.3%, Sharpe 0.98, 49% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 35.9%p higher than buy and hold, while drawdown improves by 43.6%p (CAGR 17.8%, 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 |
44.4% | -55.3% | 0.98 | 0.80 | 45.1x | 87 | 49% |
| MACD fast=16, slow=39, signal=15 |
41.6% | -70.9% | 0.92 | 0.59 | 37.0x | 111 | 53% |
| Supertrend period=8, mult=2 |
34.6% | -64.6% | 0.85 | 0.54 | 21.9x | 127 | 50% |
| 볼린저 밴드 돌파 n=19, k=2 |
31.5% | -46.8% | 0.85 | 0.67 | 17.1x | 99 | 33% |
| Donchian 채널 돌파 entryN=68, exitN=71 |
26.9% | -48.1% | 0.80 | 0.56 | 11.9x | 17 | 56% |
| ADX / DI 방향성 period=38, threshold=22 |
17.8% | -35.2% | 0.79 | 0.51 | 5.5x | 10 | 14% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=8, mult=1.2 |
26.0% | -62.3% | 0.76 | 0.42 | 11.0x | 121 | 33% |
| ROC 모멘텀 n=148, threshold=-0.07 |
25.9% | -63.8% | 0.74 | 0.41 | 10.9x | 79 | 64% |
| EMA 크로스오버 fast=46, slow=88 |
23.1% | -50.1% | 0.72 | 0.46 | 8.6x | 23 | 58% |
| SMA 크로스오버 fast=36, slow=205 |
18.4% | -51.6% | 0.63 | 0.36 | 5.8x | 13 | 52% |
| Buy and hold | 8.4% | -98.9% | 0.49 | 0.09 | 2.3x | 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