Trend-Following Backtester · Guide · backtest 한국어
equity · US
Range Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of Range Resources Corporation. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
3 of 10 beat buy and hold (CAGR 3.7%, drawdown -97.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.0%, MDD -94.6%, Sharpe 0.38, 65% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.2%, MDD -80.0%, exposure 51%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=48, exitN=96 |
7.0% | -94.6% | 0.38 | 0.07 | 22.3x | 58 | 65% |
| SMA 크로스오버 fast=31, slow=151 |
7.2% | -80.0% | 0.37 | 0.09 | 24.4x | 92 | 51% |
| EMA 크로스오버 fast=54, slow=93 |
3.9% | -92.4% | 0.28 | 0.04 | 6.0x | 84 | 53% |
| ROC 모멘텀 n=188, threshold=-0.04 |
1.9% | -95.3% | 0.25 | 0.02 | 2.4x | 255 | 62% |
| 볼린저 밴드 돌파 n=55, k=2.6 |
-0.7% | -76.2% | 0.09 | -0.01 | 0.7x | 114 | 22% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-4.7% | -98.9% | 0.08 | -0.05 | 0.1x | 799 | 48% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=10, mult=2.5 |
-1.0% | -79.6% | 0.08 | -0.01 | 0.6x | 162 | 25% |
| Supertrend period=19, mult=5 |
-4.6% | -97.9% | 0.07 | -0.05 | 0.1x | 118 | 52% |
| ADX / DI 방향성 period=31, threshold=23 |
-3.5% | -89.8% | 0.06 | -0.04 | 0.2x | 84 | 24% |
| MACD fast=38, slow=46, signal=22 |
-9.6% | -99.8% | -0.01 | -0.10 | 0.0x | 371 | 54% |
| Buy and hold | 3.7% | -97.9% | 0.37 | 0.04 | 5.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 48 days
- Sell — Sell when price breaks below the lowest low of the last 96 days