Trend-Following Backtester · Guide · backtest 한국어
equity · US
SandRidge Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of SandRidge Energy, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.6%, MDD -30.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.4%, drawdown -97.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.1%, MDD -48.9%, Sharpe 0.83, 28% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 30.5%p higher than buy and hold, while drawdown improves by 48.2%p (CAGR 15.6%, MDD -30.9%, exposure 13%).
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=147, threshold=0.14 |
27.1% | -48.9% | 0.83 | 0.55 | 10.5x | 20 | 28% |
| SMA 크로스오버 fast=104, slow=187 |
27.0% | -48.9% | 0.82 | 0.55 | 10.4x | 11 | 35% |
| 볼린저 밴드 돌파 n=40, k=3 |
15.6% | -30.9% | 0.68 | 0.51 | 4.2x | 14 | 13% |
| Donchian 채널 돌파 entryN=115, exitN=67 |
16.6% | -48.7% | 0.63 | 0.34 | 4.5x | 6 | 25% |
| EMA 크로스오버 fast=57, slow=155 |
16.0% | -57.0% | 0.60 | 0.28 | 4.3x | 10 | 33% |
| Supertrend period=5, mult=2.6 |
13.0% | -72.9% | 0.48 | 0.18 | 3.3x | 80 | 50% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=22, mult=4 |
9.4% | -35.8% | 0.48 | 0.26 | 2.4x | 12 | 12% |
| ADX / DI 방향성 period=36, threshold=15 |
9.2% | -47.1% | 0.43 | 0.20 | 2.4x | 30 | 18% |
| Parabolic SAR step=0.04, maxStep=0.14 |
5.4% | -58.7% | 0.33 | 0.09 | 1.7x | 282 | 48% |
| MACD fast=19, slow=38, signal=24 |
0.5% | -75.2% | 0.24 | 0.01 | 1.0x | 107 | 51% |
| Buy and hold | -3.4% | -97.0% | 0.27 | -0.04 | 0.7x | 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 147-day return is greater than 14%
- Sell — Sell when the 147-day return drops to 14% or below