Trend-Following Backtester · Guide · backtest 한국어
equity · US
Murphy Oil Corporation backtest
10 trend-following strategies were compared on the full daily history of Murphy Oil Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.6%, MDD -69.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 3.8%, drawdown -94.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.6%, MDD -69.2%, Sharpe 0.30, 79% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 4.6%, MDD -69.2%, exposure 79%).
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=18, exitN=70 |
4.6% | -69.2% | 0.30 | 0.07 | 8.1x | 133 | 79% |
| EMA 크로스오버 fast=46, slow=108 |
1.7% | -67.1% | 0.19 | 0.03 | 2.2x | 97 | 58% |
| ROC 모멘텀 n=51, threshold=-0.09 |
1.1% | -85.1% | 0.19 | 0.01 | 1.7x | 423 | 79% |
| SMA 크로스오버 fast=23, slow=205 |
1.0% | -64.6% | 0.17 | 0.02 | 1.6x | 95 | 57% |
| Supertrend period=4, mult=4.9 |
-0.1% | -76.8% | 0.13 | -0.00 | 0.9x | 196 | 59% |
| 볼린저 밴드 돌파 n=36, k=3.1 |
0.2% | -43.3% | 0.07 | 0.00 | 1.1x | 58 | 8% |
| MACD fast=19, slow=44, signal=19 |
-3.3% | -89.0% | 0.01 | -0.04 | 0.2x | 536 | 51% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.7% | -90.0% | -0.01 | -0.04 | 0.2x | 622 | 52% |
| ADX / DI 방향성 period=39, threshold=28 |
-0.1% | -13.4% | -0.04 | -0.01 | 1.0x | 8 | 1% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=20, mult=1.2 |
-3.8% | -88.8% | -0.06 | -0.04 | 0.2x | 560 | 39% |
| Buy and hold | 3.8% | -94.6% | 0.29 | 0.04 | 5.6x | 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 18 days
- Sell — Sell when price breaks below the lowest low of the last 70 days