Trend-Following Backtester · Guide · backtest 한국어
equity · US
Devon Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of Devon Energy Corporation. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 8.6%, MDD -59.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.2%, drawdown -95.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.9%, MDD -64.8%, Sharpe 0.48, 55% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 8.6%, MDD -59.7%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=37, slow=237 |
10.9% | -64.8% | 0.48 | 0.17 | 70.2x | 49 | 55% |
| EMA 크로스오버 fast=28, slow=159 |
8.6% | -59.7% | 0.41 | 0.14 | 29.6x | 69 | 54% |
| Donchian 채널 돌파 entryN=10, exitN=83 |
7.9% | -79.7% | 0.38 | 0.10 | 22.7x | 127 | 86% |
| Supertrend period=25, mult=3.9 |
6.2% | -65.4% | 0.34 | 0.09 | 11.7x | 226 | 52% |
| ROC 모멘텀 n=129, threshold=-0.02 |
5.8% | -70.5% | 0.32 | 0.08 | 10.0x | 335 | 58% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
3.5% | -54.6% | 0.25 | 0.06 | 4.1x | 122 | 28% |
| ADX / DI 방향성 period=48, threshold=12 |
3.0% | -72.2% | 0.23 | 0.04 | 3.4x | 178 | 28% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=2 |
1.6% | -65.3% | 0.18 | 0.02 | 1.9x | 250 | 39% |
| MACD fast=15, slow=45, signal=15 |
-1.1% | -85.2% | 0.11 | -0.01 | 0.6x | 537 | 50% |
| Parabolic SAR step=0.03, maxStep=0.32 |
-2.6% | -92.9% | 0.06 | -0.03 | 0.3x | 1082 | 51% |
| Buy and hold | 5.2% | -95.6% | 0.33 | 0.05 | 8.0x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 37-day average price crosses above the 237-day average
- Sell — Sell (to cash) when the 37-day average falls below the 237-day average