Trend-Following Backtester · Guide · backtest 한국어
equity · US
ProPetro Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of ProPetro Holding Corp.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.4%, MDD -36.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.9%, drawdown -93.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 23.9%, MDD -53.3%, Sharpe 0.74, 30% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 25.1%, MDD -56.4%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 26.7%p higher than buy and hold, while drawdown improves by 40.5%p (CAGR 17.4%, MDD -36.1%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=29, threshold=0.13 |
23.9% | -53.3% | 0.74 | 0.45 | 7.4x | 132 | 30% |
| ADX / DI 방향성 period=20, threshold=16 |
24.3% | -43.1% | 0.73 | 0.56 | 7.7x | 76 | 36% |
| SMA 크로스오버 fast=25, slow=30 |
25.1% | -56.4% | 0.70 | 0.45 | 8.2x | 118 | 52% |
| 볼린저 밴드 돌파 n=38, k=1.7 |
21.9% | -51.6% | 0.69 | 0.42 | 6.4x | 54 | 36% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=14, mult=2.5 |
17.4% | -36.1% | 0.63 | 0.48 | 4.5x | 30 | 27% |
| Supertrend period=9, mult=3 |
19.4% | -51.6% | 0.60 | 0.38 | 5.3x | 56 | 49% |
| Donchian 채널 돌파 entryN=27, exitN=18 |
15.7% | -53.8% | 0.55 | 0.29 | 3.9x | 40 | 41% |
| MACD fast=17, slow=37, signal=16 |
15.8% | -68.5% | 0.53 | 0.23 | 3.9x | 104 | 54% |
| EMA 크로스오버 fast=12, slow=13 |
12.0% | -60.5% | 0.47 | 0.20 | 2.9x | 98 | 52% |
| Parabolic SAR step=0.02, maxStep=0.14 |
3.1% | -76.0% | 0.29 | 0.04 | 1.3x | 196 | 51% |
| Buy and hold | -2.9% | -93.9% | 0.31 | -0.03 | 0.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 29-day return is greater than 13%
- Sell — Sell when the 29-day return drops to 13% or below