Trend-Following Backtester · Guide · backtest 한국어
equity · US
Matador Resources Company backtest
10 trend-following strategies were compared on the full daily history of Matador Resources Company. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 12.1%, MDD -36.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.5%, drawdown -96.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.1%, MDD -36.8%, Sharpe 0.68, 14% exposure.
CAGR reference leader: MACD — CAGR 16.9%, MDD -58.4%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 59.7%p (CAGR 12.1%, MDD -36.8%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3.2 |
12.1% | -36.8% | 0.68 | 0.33 | 5.2x | 10 | 14% |
| MACD fast=17, slow=32, signal=14 |
16.9% | -58.4% | 0.59 | 0.29 | 9.6x | 192 | 51% |
| Donchian 채널 돌파 entryN=79, exitN=51 |
13.5% | -51.4% | 0.55 | 0.26 | 6.3x | 22 | 45% |
| ADX / DI 방향성 period=26, threshold=22 |
9.9% | -35.5% | 0.52 | 0.28 | 3.9x | 24 | 13% |
| SMA 크로스오버 fast=45, slow=206 |
12.5% | -62.6% | 0.51 | 0.20 | 5.5x | 19 | 53% |
| Parabolic SAR step=0.01, maxStep=0.38 |
12.5% | -66.4% | 0.49 | 0.19 | 5.5x | 204 | 53% |
| Supertrend period=8, mult=2.4 |
11.3% | -83.2% | 0.47 | 0.14 | 4.7x | 138 | 53% |
| EMA 크로스오버 fast=50, slow=163 |
9.4% | -66.1% | 0.43 | 0.14 | 3.7x | 21 | 53% |
| ROC 모멘텀 n=135, threshold=0.08 |
9.2% | -69.7% | 0.43 | 0.13 | 3.6x | 119 | 44% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=19, mult=2.9 |
6.4% | -40.4% | 0.39 | 0.16 | 2.4x | 34 | 13% |
| Buy and hold | 10.5% | -96.5% | 0.49 | 0.11 | 4.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 57-day middle average