Trend-Following Backtester · Guide · backtest 한국어
equity · US
SM Energy Company backtest
10 trend-following strategies were compared on the full daily history of SM Energy Company. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 9.3%, MDD -59.9%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.0%, drawdown -98.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.2%, MDD -63.6%, Sharpe 0.58, 64% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.2%p higher than buy and hold, while drawdown improves by 35.3%p (CAGR 9.3%, MDD -59.9%, exposure 17%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=167, threshold=-0.04 |
16.2% | -63.6% | 0.58 | 0.25 | 156.8x | 205 | 64% |
| SMA 크로스오버 fast=47, slow=218 |
14.3% | -66.0% | 0.54 | 0.22 | 89.2x | 35 | 57% |
| EMA 크로스오버 fast=59, slow=151 |
12.4% | -71.5% | 0.50 | 0.17 | 51.9x | 45 | 59% |
| ADX / DI 방향성 period=16, threshold=28 |
9.3% | -59.9% | 0.47 | 0.16 | 20.0x | 152 | 17% |
| Donchian 채널 돌파 entryN=19, exitN=69 |
10.4% | -81.2% | 0.44 | 0.13 | 27.7x | 93 | 79% |
| Parabolic SAR step=0.005, maxStep=0.12 |
6.9% | -77.6% | 0.36 | 0.09 | 9.4x | 277 | 53% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
6.9% | -78.0% | 0.36 | 0.09 | 9.4x | 357 | 43% |
| Supertrend period=19, mult=3.7 |
6.2% | -85.5% | 0.35 | 0.07 | 7.7x | 183 | 54% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=20, mult=2.7 |
5.1% | -78.4% | 0.32 | 0.06 | 5.3x | 123 | 16% |
| MACD fast=19, slow=54, signal=13 |
4.8% | -88.7% | 0.32 | 0.05 | 4.9x | 403 | 53% |
| Buy and hold | 8.0% | -98.9% | 0.43 | 0.08 | 13.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 167-day return is greater than -4%
- Sell — Sell when the 167-day return drops to -4% or below