Trend-Following Backtester · Guide · backtest 한국어
equity · US
Murphy USA Inc. backtest
10 trend-following strategies were compared on the full daily history of Murphy USA Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 21.9%, drawdown -35.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.6%, MDD -32.0%, Sharpe 0.76, 68% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=25, slow=130 |
16.6% | -32.0% | 0.76 | 0.52 | 7.4x | 21 | 68% |
| Donchian 채널 돌파 entryN=12, exitN=77 |
15.6% | -44.6% | 0.67 | 0.35 | 6.6x | 29 | 87% |
| ROC 모멘텀 n=87, threshold=-0.02 |
13.3% | -33.9% | 0.63 | 0.39 | 5.1x | 92 | 72% |
| EMA 크로스오버 fast=57, slow=98 |
13.1% | -38.4% | 0.61 | 0.34 | 5.0x | 23 | 73% |
| Supertrend period=26, mult=2.3 |
9.8% | -38.0% | 0.51 | 0.26 | 3.4x | 114 | 60% |
| 볼린저 밴드 돌파 n=39, k=1.7 |
6.7% | -26.1% | 0.43 | 0.26 | 2.3x | 84 | 43% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=16, mult=1.5 |
5.6% | -32.7% | 0.36 | 0.17 | 2.0x | 86 | 50% |
| MACD fast=19, slow=46, signal=15 |
5.3% | -47.7% | 0.34 | 0.11 | 2.0x | 148 | 48% |
| ADX / DI 방향성 period=10, threshold=37 |
1.9% | -22.4% | 0.21 | 0.08 | 1.3x | 72 | 15% |
| Parabolic SAR step=0.015, maxStep=0.38 |
1.8% | -39.2% | 0.19 | 0.05 | 1.3x | 246 | 55% |
| Buy and hold | 21.9% | -35.8% | 0.80 | 0.61 | 13.2x | 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 25-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 25-day average falls below the 130-day average