Trend-Following Backtester · Guide · backtest 한국어
equity · US
Phillips 66 backtest
10 trend-following strategies were compared on the full daily history of Phillips 66. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.9%, MDD -42.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.7%, drawdown -65.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.3%, MDD -13.1%, Sharpe 0.71, 8% exposure.
CAGR reference leader: Supertrend — CAGR 12.9%, MDD -42.1%, exposure 57%.
Return/drawdown alternative: Supertrend — CAGR is 10.4%p lower than buy and hold, while drawdown improves by 52.8%p (CAGR 12.9%, MDD -42.1%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=48, k=3.3 |
4.3% | -13.1% | 0.71 | 0.33 | 1.8x | 9 | 8% |
| Supertrend period=28, mult=3.3 |
12.9% | -42.1% | 0.65 | 0.31 | 5.7x | 85 | 57% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=13, mult=2.2 |
7.7% | -29.9% | 0.58 | 0.26 | 2.9x | 73 | 24% |
| Donchian 채널 돌파 entryN=45, exitN=51 |
10.5% | -37.0% | 0.56 | 0.28 | 4.2x | 33 | 63% |
| Parabolic SAR step=0.005, maxStep=0.16 |
9.1% | -38.0% | 0.50 | 0.24 | 3.5x | 131 | 56% |
| ROC 모멘텀 n=26, threshold=-0.03 |
9.1% | -61.4% | 0.48 | 0.15 | 3.5x | 233 | 69% |
| SMA 크로스오버 fast=16, slow=31 |
8.4% | -45.5% | 0.47 | 0.18 | 3.2x | 117 | 57% |
| EMA 크로스오버 fast=10, slow=86 |
7.1% | -38.4% | 0.42 | 0.18 | 2.7x | 65 | 62% |
| MACD fast=17, slow=22, signal=18 |
6.7% | -48.2% | 0.40 | 0.14 | 2.6x | 191 | 53% |
| ADX / DI 방향성 period=50, threshold=14 |
4.4% | -42.4% | 0.39 | 0.10 | 1.9x | 35 | 21% |
| Buy and hold | 14.7% | -65.9% | 0.58 | 0.22 | 7.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 48-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 48-day middle average