Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ranger Energy Services, Inc. backtest
10 trend-following strategies were compared on the full daily history of Ranger Energy Services, Inc.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.8%, MDD -47.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.3%, drawdown -85.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.2%, MDD -59.9%, Sharpe 0.48, 52% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 3.8%, MDD -47.3%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=65 |
11.2% | -59.9% | 0.48 | 0.19 | 2.6x | 52 | 52% |
| ROC 모멘텀 n=110, threshold=0.11 |
3.8% | -47.3% | 0.27 | 0.08 | 1.4x | 80 | 34% |
| 볼린저 밴드 돌파 n=56, k=2.3 |
3.2% | -55.9% | 0.25 | 0.06 | 1.3x | 26 | 24% |
| ADX / DI 방향성 period=24, threshold=12 |
3.0% | -49.6% | 0.25 | 0.06 | 1.3x | 106 | 39% |
| Donchian 채널 돌파 entryN=111, exitN=32 |
2.7% | -67.6% | 0.24 | 0.04 | 1.3x | 16 | 27% |
| EMA 크로스오버 fast=36, slow=169 |
0.2% | -53.6% | 0.18 | 0.00 | 1.0x | 15 | 49% |
| Supertrend period=6, mult=4.4 |
-1.4% | -69.9% | 0.13 | -0.02 | 0.9x | 40 | 52% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=9, mult=1.5 |
-0.6% | -49.8% | 0.12 | -0.01 | 0.9x | 72 | 32% |
| MACD fast=16, slow=30, signal=18 |
-5.3% | -65.2% | 0.04 | -0.08 | 0.6x | 116 | 51% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-6.1% | -70.5% | 0.01 | -0.09 | 0.6x | 74 | 52% |
| Buy and hold | 1.3% | -85.2% | 0.30 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 65-day average
- Sell — Sell (to cash) when the 54-day average falls below the 65-day average