Trend-Following Backtester · Guide · backtest 한국어
equity · US
Par Pacific Holdings, Inc. Common Stock backtest
10 trend-following strategies were compared on the full daily history of Par Pacific Holdings, Inc. Common Stock. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 42.9%, drawdown -78.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.2%, MDD -62.8%, Sharpe 0.80, 85% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=6, exitN=59 |
35.2% | -62.8% | 0.80 | 0.56 | 66.0x | 43 | 85% |
| Supertrend period=6, mult=4 |
29.8% | -44.6% | 0.71 | 0.67 | 37.6x | 57 | 54% |
| SMA 크로스오버 fast=35, slow=107 |
18.2% | -47.9% | 0.68 | 0.38 | 10.2x | 33 | 58% |
| Parabolic SAR step=0.005, maxStep=0.34 |
28.0% | -67.2% | 0.67 | 0.42 | 30.8x | 113 | 52% |
| ROC 모멘텀 n=118, threshold=0.01 |
17.4% | -58.8% | 0.65 | 0.30 | 9.3x | 103 | 57% |
| 볼린저 밴드 돌파 n=20, k=2.7 |
11.0% | -31.7% | 0.64 | 0.35 | 4.3x | 59 | 18% |
| EMA 크로스오버 fast=17, slow=131 |
17.2% | -60.7% | 0.64 | 0.28 | 9.1x | 27 | 58% |
| MACD fast=16, slow=26, signal=12 |
16.6% | -60.4% | 0.62 | 0.27 | 8.5x | 191 | 50% |
| ADX / DI 방향성 period=9, threshold=37 |
9.0% | -27.1% | 0.56 | 0.33 | 3.3x | 95 | 14% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=16, mult=1.7 |
10.2% | -46.3% | 0.50 | 0.22 | 3.9x | 101 | 30% |
| Buy and hold | 42.9% | -78.5% | 0.79 | 0.55 | 143.1x | 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 6 days
- Sell — Sell when price breaks below the lowest low of the last 59 days