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 111.5%, MDD -47.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 134.3%, drawdown -79.4%).
Sharpe leader (same as main): Parabolic SAR — CAGR 29.3%, MDD -47.5%, Sharpe 1.12, 57% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 111.5%, MDD -47.3%, exposure 74%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 104.9%p lower than buy and hold, while drawdown improves by 31.9%p (CAGR 111.5%, MDD -47.3%, exposure 74%).
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 |
29.3% | -47.5% | 1.12 | 0.62 | 9.7x | 240 | 57% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=9, mult=3.8 |
21.4% | -30.5% | 1.01 | 0.70 | 5.5x | 17 | 42% |
| ROC 모멘텀 n=8, threshold=-0.06 |
29.4% | -51.6% | 0.99 | 0.57 | 9.7x | 151 | 85% |
| SMA 크로스오버 fast=14, slow=23 |
26.4% | -54.7% | 0.99 | 0.48 | 7.9x | 83 | 64% |
| ADX / DI 방향성 period=19, threshold=10 |
23.9% | -42.7% | 0.93 | 0.56 | 6.6x | 111 | 67% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
20.3% | -42.2% | 0.93 | 0.48 | 5.1x | 25 | 49% |
| Supertrend period=12, mult=3.4 |
19.1% | -65.8% | 0.81 | 0.29 | 4.7x | 45 | 65% |
| MACD fast=14, slow=55, signal=18 |
17.9% | -44.3% | 0.80 | 0.40 | 4.3x | 78 | 52% |
| Donchian 채널 돌파 entryN=96, exitN=13 |
14.3% | -25.7% | 0.76 | 0.56 | 3.3x | 30 | 40% |
| EMA 크로스오버 fast=15, slow=40 |
111.5% | -47.3% | 0.39 | 2.36 | 742.5x | 39 | 74% |
| Buy and hold | 134.3% | -79.4% | 0.39 | 1.69 | 1835.0x | 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