Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dorchester Minerals, L.P. backtest
10 trend-following strategies were compared on the full daily history of Dorchester Minerals, L.P.. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 3.0%, MDD -43.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.5%, drawdown -74.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -47.2%, Sharpe 0.38, 73% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 27.3%p (CAGR 3.0%, MDD -43.3%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=37, exitN=78 |
6.6% | -47.2% | 0.38 | 0.14 | 4.5x | 33 | 73% |
| SMA 크로스오버 fast=51, slow=87 |
3.9% | -49.0% | 0.28 | 0.08 | 2.5x | 74 | 53% |
| EMA 크로스오버 fast=42, slow=125 |
3.0% | -43.3% | 0.24 | 0.07 | 2.0x | 43 | 56% |
| ROC 모멘텀 n=106, threshold=-0.13 |
2.5% | -54.2% | 0.22 | 0.05 | 1.8x | 141 | 82% |
| ADX / DI 방향성 period=26, threshold=33 |
0.5% | -16.0% | 0.12 | 0.03 | 1.1x | 10 | 3% |
| Supertrend period=9, mult=4.1 |
-0.0% | -55.3% | 0.11 | -0.00 | 1.0x | 75 | 51% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
-0.0% | -54.1% | 0.09 | -0.00 | 1.0x | 105 | 33% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=16, mult=3 |
-1.7% | -59.8% | -0.04 | -0.03 | 0.7x | 65 | 24% |
| MACD fast=17, slow=25, signal=22 |
-6.4% | -86.7% | -0.17 | -0.07 | 0.2x | 285 | 50% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.0% | -90.2% | -0.26 | -0.09 | 0.1x | 407 | 51% |
| Buy and hold | 2.5% | -74.6% | 0.24 | 0.03 | 1.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 37 days
- Sell — Sell when price breaks below the lowest low of the last 78 days