Trend-Following Backtester · Guide · backtest 한국어
equity · US
Phillips 66 backtest
10 trend-following strategies were compared on the full daily history of Phillips 66. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.8%, MDD -42.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.6%, drawdown -65.9%).
Sharpe leader (same as main): Supertrend — CAGR 11.8%, MDD -42.1%, Sharpe 0.61, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 23.8%p (CAGR 11.8%, MDD -42.1%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=3.3 |
11.8% | -42.1% | 0.61 | 0.28 | 4.9x | 85 | 57% |
| 볼린저 밴드 돌파 n=48, k=3.3 |
3.2% | -13.1% | 0.59 | 0.25 | 1.6x | 9 | 7% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=2.2 |
7.4% | -29.9% | 0.56 | 0.25 | 2.8x | 71 | 24% |
| Donchian 채널 돌파 entryN=45, exitN=51 |
9.4% | -37.0% | 0.51 | 0.25 | 3.6x | 33 | 63% |
| Parabolic SAR step=0.005, maxStep=0.16 |
8.0% | -38.0% | 0.46 | 0.21 | 3.0x | 131 | 56% |
| ROC 모멘텀 n=26, threshold=-0.03 |
8.0% | -61.4% | 0.44 | 0.13 | 3.0x | 233 | 69% |
| SMA 크로스오버 fast=16, slow=31 |
7.3% | -45.5% | 0.43 | 0.16 | 2.7x | 117 | 57% |
| MACD fast=17, slow=22, signal=18 |
6.5% | -48.2% | 0.39 | 0.13 | 2.5x | 189 | 53% |
| EMA 크로스오버 fast=10, slow=86 |
6.0% | -38.4% | 0.38 | 0.16 | 2.3x | 65 | 61% |
| ADX / DI 방향성 period=50, threshold=14 |
3.3% | -42.4% | 0.32 | 0.08 | 1.6x | 35 | 21% |
| Buy and hold | 13.6% | -65.9% | 0.55 | 0.21 | 6.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)