Trend-Following Backtester · Guide · backtest 한국어
equity · IL
Navitas Petroleum LP backtest
10 trend-following strategies were compared on the full daily history of Navitas Petroleum LP. 0 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 110.7%, MDD -47.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 133.2%, drawdown -79.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 29.9%, MDD -47.5%, Sharpe 1.13, 57% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 110.7%, MDD -47.3%, exposure 75%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 103.3%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 110.7%, MDD -47.3%, exposure 75%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.045, maxStep=0.34 |
29.9% | -47.5% | 1.13 | 0.63 | 10.3x | 242 | 57% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=9, mult=3.8 |
21.6% | -30.5% | 1.01 | 0.71 | 5.7x | 17 | 42% |
| ROC 모멘텀 n=8, threshold=-0.06 |
29.6% | -51.6% | 1.00 | 0.57 | 10.1x | 151 | 85% |
| SMA 크로스오버 fast=14, slow=23 |
25.3% | -54.7% | 0.96 | 0.46 | 7.4x | 85 | 64% |
| ADX / DI 방향성 period=19, threshold=10 |
24.1% | -42.7% | 0.94 | 0.56 | 6.8x | 111 | 67% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
19.1% | -42.2% | 0.88 | 0.45 | 4.7x | 27 | 49% |
| Supertrend period=12, mult=3.4 |
19.3% | -65.8% | 0.82 | 0.29 | 4.8x | 45 | 65% |
| MACD fast=14, slow=55, signal=18 |
17.7% | -44.3% | 0.79 | 0.40 | 4.3x | 78 | 52% |
| Donchian 채널 돌파 entryN=96, exitN=13 |
14.1% | -25.7% | 0.76 | 0.55 | 3.3x | 30 | 40% |
| EMA 크로스오버 fast=15, slow=40 |
110.7% | -47.3% | 0.38 | 2.34 | 766.9x | 39 | 75% |
| Buy and hold | 133.2% | -79.4% | 0.39 | 1.68 | 1895.2x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots