Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sabine Royalty Trust backtest
10 trend-following strategies were compared on the full daily history of Sabine Royalty Trust. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.3%, MDD -50.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.9%, drawdown -71.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.5%, MDD -62.3%, Sharpe 0.22, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 9.2%p (CAGR 2.3%, MDD -50.5%, exposure 55%).
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=41, slow=216 |
2.5% | -62.3% | 0.22 | 0.04 | 3.0x | 63 | 55% |
| EMA 크로스오버 fast=57, slow=204 |
2.3% | -50.5% | 0.21 | 0.05 | 2.7x | 49 | 55% |
| Donchian 채널 돌파 entryN=12, exitN=70 |
1.2% | -67.8% | 0.17 | 0.02 | 1.7x | 134 | 81% |
| ADX / DI 방향성 period=34, threshold=35 |
0.1% | -10.3% | 0.04 | 0.01 | 1.0x | 2 | 2% |
| Supertrend period=22, mult=3.9 |
-1.4% | -65.0% | 0.02 | -0.02 | 0.5x | 196 | 52% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
-0.3% | -36.6% | -0.01 | -0.01 | 0.9x | 26 | 5% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-3.0% | -80.1% | -0.06 | -0.04 | 0.3x | 320 | 52% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=14, mult=3.5 |
-0.1% | -7.9% | -0.11 | -0.01 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=135, threshold=0.03 |
-4.2% | -87.3% | -0.14 | -0.05 | 0.2x | 469 | 47% |
| MACD fast=19, slow=39, signal=24 |
-6.1% | -93.5% | -0.23 | -0.07 | 0.1x | 469 | 51% |
| Buy and hold | 2.9% | -71.6% | 0.25 | 0.04 | 3.5x | 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 41-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 41-day average falls below the 216-day average