Trend-Following Backtester · Guide · backtest 한국어
equity · US
Magnolia Oil & Gas Corporation backtest
10 trend-following strategies were compared on the full daily history of Magnolia Oil & Gas Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.3%, MDD -23.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.9%, drawdown -77.8%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.6%, MDD -4.7%, Sharpe 0.80, 4% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 9.3%, MDD -23.8%, exposure 17%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.3%p lower than buy and hold, while drawdown improves by 73.1%p (CAGR 9.3%, MDD -23.8%, exposure 17%).
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=33, threshold=35 |
3.6% | -4.7% | 0.80 | 0.77 | 1.4x | 2 | 4% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=29, mult=3.6 |
9.3% | -23.8% | 0.62 | 0.39 | 2.2x | 12 | 17% |
| 볼린저 밴드 돌파 n=47, k=2.9 |
7.9% | -33.4% | 0.55 | 0.24 | 2.0x | 10 | 15% |
| Donchian 채널 돌파 entryN=106, exitN=21 |
7.8% | -39.6% | 0.46 | 0.20 | 2.0x | 20 | 27% |
| SMA 크로스오버 fast=35, slow=86 |
7.5% | -53.4% | 0.39 | 0.14 | 1.9x | 26 | 54% |
| ROC 모멘텀 n=75, threshold=0.1 |
5.9% | -50.3% | 0.35 | 0.12 | 1.7x | 94 | 35% |
| EMA 크로스오버 fast=22, slow=118 |
6.2% | -64.4% | 0.35 | 0.10 | 1.7x | 26 | 52% |
| MACD fast=13, slow=58, signal=12 |
4.7% | -47.5% | 0.30 | 0.10 | 1.5x | 132 | 51% |
| Supertrend period=24, mult=2.6 |
4.2% | -63.8% | 0.29 | 0.07 | 1.5x | 86 | 51% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.7% | -75.3% | 0.08 | -0.04 | 0.8x | 84 | 52% |
| Buy and hold | 10.9% | -77.8% | 0.45 | 0.14 | 2.6x | 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, 33-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)