Trend-Following Backtester · Guide · backtest 한국어
equity · US
Texas Pacific Land Corporation backtest
10 trend-following strategies were compared on the full daily history of Texas Pacific Land Corporation. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.3%, MDD -49.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 14.4%, drawdown -75.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 17.1%, MDD -61.4%, Sharpe 0.77, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 14.2%p (CAGR 16.3%, MDD -49.4%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=33, slow=35 |
17.1% | -61.4% | 0.77 | 0.28 | 1503.9x | 160 | 57% |
| Supertrend period=19, mult=5 |
16.3% | -49.4% | 0.75 | 0.33 | 1087.9x | 198 | 57% |
| Donchian 채널 돌파 entryN=70, exitN=25 |
14.3% | -54.2% | 0.74 | 0.26 | 485.2x | 126 | 39% |
| SMA 크로스오버 fast=8, slow=94 |
15.9% | -52.4% | 0.73 | 0.30 | 941.7x | 178 | 56% |
| 볼린저 밴드 돌파 n=58, k=1.6 |
13.4% | -55.4% | 0.69 | 0.24 | 341.2x | 200 | 41% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=22, mult=2.4 |
12.6% | -51.3% | 0.66 | 0.25 | 245.0x | 222 | 42% |
| Parabolic SAR step=0.005, maxStep=0.36 |
12.9% | -57.4% | 0.62 | 0.23 | 281.9x | 342 | 51% |
| ADX / DI 방향성 period=29, threshold=12 |
11.4% | -63.5% | 0.60 | 0.18 | 148.4x | 430 | 48% |
| MACD fast=19, slow=53, signal=18 |
11.6% | -61.8% | 0.58 | 0.19 | 164.2x | 449 | 49% |
| ROC 모멘텀 n=76, threshold=0.08 |
9.7% | -65.8% | 0.53 | 0.15 | 74.7x | 404 | 39% |
| Buy and hold | 14.4% | -75.5% | 0.56 | 0.19 | 514.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 33-day EMA crosses above the 35-day EMA
- Sell — Sell when the 33-day EMA falls below the 35-day EMA