Trend-Following Backtester · Guide · backtest 한국어

equity · US

Comstock Resources, Inc. backtest

10 trend-following strategies were compared on the full daily history of Comstock Resources, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.9%, MDD -36.8%).

Data 1987-08-28 ~ 2026-07-31daily bars 9,804 (38.9 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR -3.8%, drawdown -99.4%).

Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.3%, MDD -84.0%, Sharpe 0.30, 51% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 3.8%, MDD -57.5%, exposure 18%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.1%p higher than buy and hold, while drawdown improves by 15.3%p (CAGR 1.9%, MDD -36.8%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
SMA 크로스오버
fast=53, slow=102
3.3%-84.0%0.300.043.5x11251%
Donchian 채널 돌파
entryN=82, exitN=9
3.8%-57.5%0.270.074.3x13818%
볼린저 밴드 돌파
n=62, k=3.1
3.4%-68.9%0.260.053.6x5014%
Keltner 채널 돌파
emaPeriod=54, atrPeriod=23, mult=3.4
1.6%-77.9%0.200.021.9x10420%
ADX / DI 방향성
period=32, threshold=37
1.9%-36.8%0.200.052.1x82%
Parabolic SAR
step=0.01, maxStep=0.28
-3.7%-97.8%0.18-0.040.2x52050%
EMA 크로스오버
fast=56, slow=132
-1.4%-96.2%0.17-0.010.6x6648%
Supertrend
period=28, mult=4.9
-4.4%-93.8%0.12-0.050.2x12845%
ROC 모멘텀
n=144, threshold=0.14
-2.8%-92.1%0.11-0.030.3x36637%
MACD
fast=7, slow=31, signal=17
-11.1%-99.7%0.05-0.110.0x74252%
Buy and hold-3.8%-99.4%0.33-0.040.2x1100%
0.1 1x 10x 1988 1993 1998 2003 2008 2013 2018 2023 Donchian 채널 돌파SMA 크로스오버Buy and hold
SMA 크로스오버 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -25% -50% -75% -99% 1988 1993 1998 2003 2008 2013 2018 2023 Buy and holdDonchian 채널 돌파SMA 크로스오버
SMA 크로스오버 maximum drawdown -84.0% (2017-01-27 → 2021-04-20), prior peak not yet recovered.

Rules of the top strategy

When the short average rises above the long average, it reads that as an uptrend starting.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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