Trend-Following Backtester · Guide · backtest 한국어
equity · US
W&T Offshore, Inc. backtest
10 trend-following strategies were compared on the full daily history of W&T Offshore, Inc.. 10 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.5%, MDD -69.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.2%, drawdown -98.2%).
Sharpe leader (same as main): Parabolic SAR — CAGR 8.6%, MDD -85.4%, Sharpe 0.41, 47% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 12.8%p (CAGR 3.5%, MDD -69.0%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.3 |
8.6% | -85.4% | 0.41 | 0.10 | 6.0x | 277 | 47% |
| Supertrend period=15, mult=3.1 |
8.1% | -78.5% | 0.39 | 0.10 | 5.3x | 139 | 42% |
| MACD fast=13, slow=37, signal=11 |
5.0% | -88.9% | 0.34 | 0.06 | 2.9x | 328 | 52% |
| 볼린저 밴드 돌파 n=26, k=1.5 |
4.5% | -84.9% | 0.31 | 0.05 | 2.6x | 212 | 34% |
| Donchian 채널 돌파 entryN=23, exitN=27 |
3.0% | -84.2% | 0.30 | 0.04 | 1.9x | 95 | 53% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=28, mult=1.5 |
4.3% | -78.7% | 0.30 | 0.05 | 2.5x | 164 | 31% |
| EMA 크로스오버 fast=11, slow=145 |
3.5% | -69.0% | 0.29 | 0.05 | 2.1x | 55 | 39% |
| ROC 모멘텀 n=117, threshold=0.11 |
2.9% | -75.7% | 0.27 | 0.04 | 1.9x | 134 | 34% |
| ADX / DI 방향성 period=14, threshold=14 |
0.8% | -85.6% | 0.24 | 0.01 | 1.2x | 398 | 43% |
| SMA 크로스오버 fast=27, slow=188 |
1.0% | -80.8% | 0.23 | 0.01 | 1.2x | 37 | 39% |
| Buy and hold | -7.2% | -98.2% | 0.22 | -0.07 | 0.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots