Trend-Following Backtester · Guide · backtest 한국어
equity · US
Sable Offshore Corp. backtest
10 trend-following strategies were compared on the full daily history of Sable Offshore Corp.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 17.3%, MDD -26.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.9%, drawdown -90.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 34.2%, MDD -43.5%, Sharpe 0.80, 17% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 45.1%p higher than buy and hold, while drawdown improves by 47.1%p (CAGR 17.3%, MDD -26.6%, exposure 23%).
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=13, threshold=0.07 |
34.2% | -43.5% | 0.80 | 0.78 | 4.7x | 72 | 17% |
| MACD fast=13, slow=23, signal=23 |
33.0% | -48.3% | 0.76 | 0.68 | 4.5x | 85 | 49% |
| Donchian 채널 돌파 entryN=12, exitN=31 |
31.9% | -43.6% | 0.73 | 0.73 | 4.3x | 17 | 77% |
| 볼린저 밴드 돌파 n=17, k=2.4 |
17.3% | -26.6% | 0.59 | 0.65 | 2.3x | 44 | 23% |
| SMA 크로스오버 fast=51, slow=73 |
15.5% | -49.8% | 0.52 | 0.31 | 2.1x | 20 | 69% |
| EMA 크로스오버 fast=61, slow=199 |
14.4% | -47.1% | 0.51 | 0.31 | 2.0x | 2 | 70% |
| Parabolic SAR step=0.01, maxStep=0.22 |
12.2% | -52.1% | 0.46 | 0.23 | 1.8x | 57 | 51% |
| ADX / DI 방향성 period=21, threshold=12 |
9.2% | -45.6% | 0.41 | 0.20 | 1.6x | 64 | 61% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=26, mult=1.5 |
8.9% | -38.0% | 0.40 | 0.24 | 1.6x | 42 | 18% |
| Supertrend period=5, mult=1.9 |
8.8% | -56.8% | 0.40 | 0.15 | 1.6x | 70 | 57% |
| Buy and hold | -10.9% | -90.7% | 0.27 | -0.12 | 0.5x | 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 13-day return is greater than 7%
- Sell — Sell when the 13-day return drops to 7% or below