Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ovintiv Inc. (DE) backtest
10 trend-following strategies were compared on the full daily history of Ovintiv Inc. (DE). 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.6%, MDD -31.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.6%, drawdown -99.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.0%, MDD -68.8%, Sharpe 0.47, 56% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 30.8%p (CAGR 4.6%, MDD -31.6%, exposure 9%).
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=40, slow=180 |
10.0% | -68.8% | 0.47 | 0.14 | 10.1x | 35 | 56% |
| ADX / DI 방향성 period=35, threshold=21 |
4.6% | -31.6% | 0.40 | 0.14 | 3.0x | 28 | 9% |
| Donchian 채널 돌파 entryN=13, exitN=61 |
7.9% | -86.0% | 0.39 | 0.09 | 6.4x | 79 | 80% |
| EMA 크로스오버 fast=55, slow=213 |
6.0% | -76.6% | 0.35 | 0.08 | 4.1x | 25 | 51% |
| ROC 모멘텀 n=153, threshold=0.07 |
5.1% | -73.1% | 0.32 | 0.07 | 3.4x | 189 | 46% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
4.4% | -61.5% | 0.30 | 0.07 | 2.9x | 73 | 28% |
| MACD fast=8, slow=30, signal=11 |
2.7% | -91.5% | 0.25 | 0.03 | 1.9x | 476 | 51% |
| Supertrend period=11, mult=4.4 |
1.1% | -70.4% | 0.19 | 0.02 | 1.3x | 105 | 52% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=28, mult=2.5 |
0.5% | -79.1% | 0.14 | 0.01 | 1.1x | 111 | 30% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-1.0% | -90.4% | 0.12 | -0.01 | 0.8x | 437 | 51% |
| Buy and hold | -0.6% | -99.5% | 0.27 | -0.01 | 0.9x | 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 40-day average price crosses above the 180-day average
- Sell — Sell (to cash) when the 40-day average falls below the 180-day average