Trend-Following Backtester · Guide · backtest 한국어
equity · US
Valero Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of Valero Energy Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.6%, MDD -53.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.8%, drawdown -87.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.3%, MDD -57.3%, Sharpe 0.48, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.5%p higher than buy and hold, while drawdown improves by 30.2%p (CAGR 9.6%, MDD -53.2%, exposure 57%).
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=128, threshold=-0.03 |
10.3% | -57.3% | 0.48 | 0.18 | 78.9x | 339 | 64% |
| SMA 크로스오버 fast=16, slow=130 |
9.6% | -53.2% | 0.47 | 0.18 | 60.6x | 137 | 57% |
| Donchian 채널 돌파 entryN=95, exitN=51 |
8.7% | -50.9% | 0.46 | 0.17 | 42.2x | 81 | 46% |
| EMA 크로스오버 fast=23, slow=138 |
8.7% | -61.0% | 0.44 | 0.14 | 41.8x | 109 | 58% |
| MACD fast=19, slow=69, signal=10 |
8.5% | -67.8% | 0.42 | 0.13 | 38.2x | 529 | 52% |
| Parabolic SAR step=0.005, maxStep=0.08 |
7.6% | -72.0% | 0.40 | 0.11 | 26.5x | 367 | 53% |
| 볼린저 밴드 돌파 n=33, k=1.9 |
6.5% | -71.1% | 0.39 | 0.09 | 16.9x | 291 | 37% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=27, mult=2.3 |
5.7% | -63.4% | 0.36 | 0.09 | 11.9x | 251 | 32% |
| Supertrend period=10, mult=2.9 |
6.1% | -73.1% | 0.35 | 0.08 | 14.4x | 355 | 54% |
| ADX / DI 방향성 period=34, threshold=15 |
3.7% | -64.4% | 0.28 | 0.06 | 5.2x | 219 | 30% |
| Buy and hold | 9.8% | -87.5% | 0.43 | 0.11 | 64.8x | 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 128-day return is greater than -3%
- Sell — Sell when the 128-day return drops to -3% or below