Trend-Following Backtester · Guide · backtest 한국어
equity · US
ExxonMobil Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of ExxonMobil Holdings Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.8%, MDD -33.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.0%, drawdown -69.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.8%, MDD -33.2%, Sharpe 0.49, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 36.7%p (CAGR 7.8%, MDD -33.2%, exposure 70%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=92, slow=426 |
7.8% | -33.2% | 0.49 | 0.23 | 68.6x | 27 | 70% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
7.7% | -69.9% | 0.43 | 0.11 | 66.0x | 3 | 100% |
| EMA 크로스오버 fast=55, slow=172 |
5.7% | -47.4% | 0.39 | 0.12 | 22.6x | 83 | 69% |
| Donchian 채널 돌파 entryN=46, exitN=139 |
5.4% | -67.1% | 0.37 | 0.08 | 19.8x | 61 | 80% |
| ADX / DI 방향성 period=45, threshold=17 |
0.5% | -32.8% | 0.10 | 0.02 | 1.3x | 84 | 12% |
| 볼린저 밴드 돌파 n=54, k=3.2 |
0.4% | -33.1% | 0.10 | 0.01 | 1.3x | 38 | 6% |
| Supertrend period=30, mult=3.8 |
0.0% | -64.0% | 0.09 | 0.00 | 1.0x | 285 | 57% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=25, mult=4 |
0.3% | -48.6% | 0.08 | 0.01 | 1.2x | 124 | 25% |
| Parabolic SAR step=0.005, maxStep=0.04 |
-2.4% | -86.1% | -0.06 | -0.03 | 0.3x | 449 | 56% |
| MACD fast=18, slow=42, signal=18 |
-4.2% | -93.6% | -0.19 | -0.05 | 0.1x | 695 | 51% |
| Buy and hold | 8.0% | -69.9% | 0.44 | 0.12 | 79.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 92-day average price crosses above the 426-day average
- Sell — Sell (to cash) when the 92-day average falls below the 426-day average