Trend-Following Backtester · Guide · backtest 한국어
etf · US
United States Oil Fund backtest
10 trend-following strategies were compared on the full daily history of United States Oil Fund. 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 2.0%, MDD -16.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.7%, drawdown -98.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.5%, MDD -50.3%, Sharpe 0.33, 26% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.1%, MDD -67.0%, exposure 76%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 47.9%p (CAGR 2.0%, MDD -16.5%, exposure 2%).
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=126, threshold=0.14 |
4.5% | -50.3% | 0.33 | 0.09 | 2.4x | 137 | 26% |
| Donchian 채널 돌파 entryN=15, exitN=64 |
5.1% | -67.0% | 0.32 | 0.08 | 2.8x | 65 | 76% |
| EMA 크로스오버 fast=36, slow=92 |
4.0% | -67.3% | 0.29 | 0.06 | 2.2x | 47 | 49% |
| 볼린저 밴드 돌파 n=57, k=3.4 |
2.0% | -16.5% | 0.28 | 0.12 | 1.5x | 4 | 2% |
| SMA 크로스오버 fast=38, slow=190 |
3.6% | -64.5% | 0.27 | 0.06 | 2.0x | 41 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=7, mult=3.9 |
2.0% | -59.8% | 0.20 | 0.03 | 1.5x | 54 | 22% |
| ADX / DI 방향성 period=28, threshold=18 |
1.5% | -37.2% | 0.18 | 0.04 | 1.4x | 50 | 10% |
| Supertrend period=27, mult=3.5 |
1.0% | -64.3% | 0.16 | 0.02 | 1.2x | 129 | 52% |
| MACD fast=24, slow=57, signal=16 |
0.9% | -67.6% | 0.16 | 0.01 | 1.2x | 187 | 53% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-2.8% | -69.2% | -0.00 | -0.04 | 0.6x | 179 | 51% |
| Buy and hold | -6.7% | -98.2% | 0.00 | -0.07 | 0.2x | 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 126-day return is greater than 14%
- Sell — Sell when the 126-day return drops to 14% or below