Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Tourmaline Oil Corp. backtest
10 trend-following strategies were compared on the full daily history of Tourmaline Oil Corp.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.3%, MDD -43.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 7.2%, drawdown -88.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.4%, MDD -63.1%, Sharpe 0.60, 56% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 25.3%p (CAGR 8.3%, MDD -43.8%, exposure 38%).
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=34, slow=98 |
12.4% | -63.1% | 0.60 | 0.20 | 6.3x | 32 | 56% |
| EMA 크로스오버 fast=39, slow=66 |
10.4% | -52.8% | 0.53 | 0.20 | 4.7x | 32 | 56% |
| ROC 모멘텀 n=128, threshold=0.1 |
8.3% | -43.8% | 0.49 | 0.19 | 3.5x | 96 | 38% |
| Supertrend period=15, mult=4.9 |
8.7% | -59.8% | 0.47 | 0.15 | 3.7x | 42 | 56% |
| Donchian 채널 돌파 entryN=61, exitN=59 |
8.6% | -57.2% | 0.47 | 0.15 | 3.7x | 27 | 55% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=25, mult=4 |
6.2% | -33.7% | 0.45 | 0.19 | 2.6x | 26 | 26% |
| 볼린저 밴드 돌파 n=74, k=2.7 |
5.0% | -40.9% | 0.40 | 0.12 | 2.2x | 22 | 21% |
| ADX / DI 방향성 period=12, threshold=36 |
3.2% | -20.3% | 0.34 | 0.16 | 1.7x | 52 | 11% |
| Parabolic SAR step=0.03, maxStep=0.18 |
-4.0% | -80.8% | -0.04 | -0.05 | 0.5x | 418 | 51% |
| MACD fast=17, slow=66, signal=11 |
-4.8% | -82.2% | -0.08 | -0.06 | 0.5x | 207 | 50% |
| Buy and hold | 7.2% | -88.4% | 0.37 | 0.08 | 3.0x | 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 34-day average price crosses above the 98-day average
- Sell — Sell (to cash) when the 34-day average falls below the 98-day average