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 4.8%, MDD -69.2%).

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 4.0%, drawdown -94.6%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.8%, MDD -69.2%, Sharpe 0.31, 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 4.8%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=18, exitN=70
4.8%-69.2%0.310.078.8x13379%
EMA 크로스오버
fast=46, slow=108
1.9%-67.1%0.200.032.4x9758%
ROC 모멘텀
n=51, threshold=-0.09
1.5%-85.1%0.200.022.0x41779%
SMA 크로스오버
fast=23, slow=205
1.2%-64.6%0.180.021.8x9557%
Supertrend
period=4, mult=4.9
0.3%-76.8%0.140.001.1x19559%
볼린저 밴드 돌파
n=36, k=3.1
0.2%-43.3%0.070.001.1x588%
MACD
fast=19, slow=44, signal=19
-2.8%-89.0%0.03-0.030.3x53351%
Parabolic SAR
step=0.01, maxStep=0.12
-3.3%-90.0%0.00-0.040.2x62152%
ADX / DI 방향성
period=39, threshold=28
-0.1%-13.4%-0.04-0.011.0x81%
Keltner 채널 돌파
emaPeriod=24, atrPeriod=20, mult=1.2
-3.4%-88.8%-0.05-0.040.2x55739%
Buy and hold4.0%-94.6%0.300.046.1x1100%
1x 10x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -47% -71% -95% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -69.2% (1980-11-20 → 1986-08-01), recovered after 8,642 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

Read next