Trend-Following Backtester · Guide · backtest 한국어
equity · US
California Resources Corporation backtest
10 trend-following strategies were compared on the full daily history of California Resources Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 24.0%, drawdown -45.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.1%, MDD -14.1%, Sharpe 0.90, 22% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=18, threshold=24 |
15.1% | -14.1% | 0.90 | 1.07 | 2.3x | 20 | 22% |
| ROC 모멘텀 n=6, threshold=0.13 |
9.6% | -17.8% | 0.81 | 0.54 | 1.7x | 34 | 3% |
| Parabolic SAR step=0.02, maxStep=0.28 |
14.1% | -46.0% | 0.59 | 0.31 | 2.2x | 128 | 52% |
| Supertrend period=13, mult=2 |
13.2% | -47.2% | 0.56 | 0.28 | 2.1x | 65 | 52% |
| Donchian 채널 돌파 entryN=8, exitN=8 |
12.1% | -44.4% | 0.53 | 0.27 | 1.9x | 68 | 48% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=27, mult=3.4 |
6.7% | -22.0% | 0.50 | 0.31 | 1.5x | 12 | 18% |
| SMA 크로스오버 fast=51, slow=70 |
6.6% | -27.2% | 0.37 | 0.24 | 1.5x | 34 | 54% |
| MACD fast=15, slow=34, signal=8 |
4.6% | -46.6% | 0.30 | 0.10 | 1.3x | 93 | 50% |
| EMA 크로스오버 fast=59, slow=184 |
4.0% | -35.5% | 0.28 | 0.11 | 1.3x | 10 | 63% |
| 볼린저 밴드 돌파 n=19, k=1.1 |
4.0% | -47.8% | 0.28 | 0.08 | 1.3x | 94 | 43% |
| Buy and hold | 24.0% | -45.6% | 0.72 | 0.53 | 3.5x | 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, 18-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)