Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chord Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of Chord Energy Corporation. 2 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 41.9%, MDD -75.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.2%, drawdown -99.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.7%, MDD -17.9%, Sharpe 0.65, 4% exposure.
CAGR reference leader: MACD — CAGR 41.9%, MDD -75.8%, exposure 49%.
Return/drawdown alternative: MACD — CAGR is 9.4%p lower than buy and hold, while drawdown improves by 82.0%p (CAGR 41.9%, MDD -75.8%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=34, threshold=33 |
5.7% | -17.9% | 0.65 | 0.32 | 2.5x | 2 | 4% |
| SMA 크로스오버 fast=11, slow=254 |
8.9% | -53.3% | 0.43 | 0.17 | 4.0x | 31 | 49% |
| Donchian 채널 돌파 entryN=93, exitN=38 |
7.9% | -46.1% | 0.41 | 0.17 | 3.4x | 28 | 35% |
| EMA 크로스오버 fast=52, slow=106 |
8.0% | -54.3% | 0.40 | 0.15 | 3.5x | 27 | 51% |
| ROC 모멘텀 n=47, threshold=0.02 |
7.4% | -70.0% | 0.35 | 0.11 | 3.2x | 215 | 47% |
| 볼린저 밴드 돌파 n=53, k=3.4 |
5.7% | -64.4% | 0.34 | 0.09 | 2.5x | 12 | 11% |
| Supertrend period=12, mult=4.5 |
6.3% | -85.4% | 0.33 | 0.07 | 2.7x | 51 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=34, mult=4 |
4.2% | -62.0% | 0.28 | 0.07 | 1.9x | 26 | 18% |
| MACD fast=17, slow=35, signal=24 |
41.9% | -75.8% | 0.25 | 0.55 | 290.9x | 169 | 49% |
| Parabolic SAR step=0.025, maxStep=0.1 |
30.4% | -93.9% | 0.25 | 0.32 | 73.5x | 354 | 49% |
| Buy and hold | 15.2% | -99.8% | 0.25 | 0.15 | 9.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 34-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)