Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chevron Corporation backtest
10 trend-following strategies were compared on the full daily history of Chevron Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.5%, drawdown -59.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.6%, MDD -67.8%, Sharpe 0.37, 79% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=76, exitN=152 |
5.6% | -67.8% | 0.37 | 0.08 | 21.8x | 45 | 79% |
| ROC 모멘텀 n=159, threshold=-0.11 |
4.9% | -60.5% | 0.33 | 0.08 | 14.6x | 223 | 86% |
| SMA 크로스오버 fast=57, slow=152 |
3.4% | -56.8% | 0.27 | 0.06 | 6.5x | 95 | 62% |
| EMA 크로스오버 fast=59, slow=202 |
3.4% | -58.7% | 0.27 | 0.06 | 6.6x | 77 | 68% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
1.0% | -22.3% | 0.21 | 0.04 | 1.7x | 16 | 4% |
| Supertrend period=36, mult=4 |
-2.0% | -85.1% | -0.02 | -0.02 | 0.3x | 299 | 57% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=19, mult=4 |
-0.2% | -33.2% | -0.02 | -0.00 | 0.9x | 20 | 1% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-4.1% | -94.6% | -0.14 | -0.04 | 0.1x | 499 | 55% |
| MACD fast=17, slow=33, signal=14 |
-4.3% | -94.6% | -0.15 | -0.05 | 0.1x | 801 | 51% |
| ADX / DI 방향성 period=31, threshold=30 |
-0.6% | -39.7% | -0.17 | -0.02 | 0.7x | 14 | 1% |
| Buy and hold | 7.5% | -59.8% | 0.41 | 0.13 | 60.0x | 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 76 days
- Sell — Sell when price breaks below the lowest low of the last 152 days