Trend-Following Backtester · Guide · backtest 한국어
equity · US
Northern Oil and Gas, Inc. backtest
10 trend-following strategies were compared on the full daily history of Northern Oil and Gas, Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.4%, MDD -66.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.2%, drawdown -99.0%).
Sharpe leader (same as main): Supertrend — CAGR 10.6%, MDD -88.5%, Sharpe 0.45, 48% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.8%p higher than buy and hold, while drawdown improves by 10.5%p (CAGR 9.4%, MDD -66.1%, exposure 38%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=10, mult=2.2 |
10.6% | -88.5% | 0.45 | 0.12 | 7.0x | 187 | 48% |
| 볼린저 밴드 돌파 n=26, k=1.1 |
9.4% | -66.1% | 0.42 | 0.14 | 5.8x | 205 | 38% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=22, mult=2.1 |
8.7% | -68.7% | 0.41 | 0.13 | 5.1x | 103 | 25% |
| Parabolic SAR step=0.005, maxStep=0.14 |
8.0% | -75.6% | 0.40 | 0.11 | 4.4x | 165 | 48% |
| EMA 크로스오버 fast=45, slow=126 |
7.5% | -80.3% | 0.38 | 0.09 | 4.1x | 34 | 48% |
| SMA 크로스오버 fast=7, slow=213 |
7.5% | -76.2% | 0.38 | 0.10 | 4.1x | 55 | 46% |
| Donchian 채널 돌파 entryN=67, exitN=17 |
7.1% | -70.0% | 0.37 | 0.10 | 3.8x | 55 | 25% |
| ADX / DI 방향성 period=30, threshold=14 |
4.2% | -70.3% | 0.29 | 0.06 | 2.2x | 125 | 23% |
| ROC 모멘텀 n=96, threshold=-0.02 |
-0.1% | -91.2% | 0.21 | -0.00 | 1.0x | 186 | 53% |
| MACD fast=10, slow=54, signal=9 |
-1.5% | -91.0% | 0.21 | -0.02 | 0.7x | 361 | 50% |
| Buy and hold | -2.2% | -99.0% | 0.32 | -0.02 | 0.6x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 10-day volatility, 2.2× band
- Sell — Sell when price drops below the trend line (flips down)