Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sable Offshore Corp. backtest
10 trend-following strategies were compared on the full daily history of Sable Offshore Corp.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.7%, MDD -27.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.3%, drawdown -90.7%).
Sharpe leader (same as main): MACD — CAGR 30.2%, MDD -48.3%, Sharpe 0.72, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 42.5%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 12.7%, MDD -27.0%, exposure 24%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=13, slow=23, signal=23 |
30.2% | -48.3% | 0.72 | 0.63 | 4.1x | 85 | 49% |
| ROC 모멘텀 n=13, threshold=0.07 |
27.7% | -43.5% | 0.70 | 0.64 | 3.7x | 78 | 17% |
| Donchian 채널 돌파 entryN=12, exitN=31 |
29.1% | -45.6% | 0.69 | 0.64 | 3.9x | 17 | 77% |
| SMA 크로스오버 fast=51, slow=73 |
15.2% | -49.8% | 0.52 | 0.31 | 2.1x | 20 | 68% |
| EMA 크로스오버 fast=61, slow=199 |
14.2% | -47.1% | 0.51 | 0.30 | 2.0x | 2 | 69% |
| 볼린저 밴드 돌파 n=17, k=2.4 |
12.7% | -27.0% | 0.49 | 0.47 | 1.9x | 46 | 24% |
| ADX / DI 방향성 period=21, threshold=12 |
9.0% | -45.6% | 0.41 | 0.20 | 1.6x | 64 | 60% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=1.5 |
8.8% | -38.0% | 0.40 | 0.23 | 1.6x | 42 | 18% |
| Parabolic SAR step=0.01, maxStep=0.22 |
5.1% | -52.1% | 0.35 | 0.10 | 1.3x | 59 | 52% |
| Supertrend period=5, mult=1.9 |
3.2% | -56.8% | 0.30 | 0.06 | 1.2x | 73 | 58% |
| Buy and hold | -12.3% | -90.7% | 0.25 | -0.14 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (13/23) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line