Trend-Following Backtester · Guide · backtest 한국어
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Alerian MLP ETF backtest
10 trend-following strategies were compared on the full daily history of Alerian MLP ETF. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.1%, MDD -0.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.9%, drawdown -85.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.6%, MDD -12.9%, Sharpe 0.28, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 1.9%, MDD -29.5%, exposure 52%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 72.5%p (CAGR 0.1%, MDD -0.8%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3 |
1.6% | -12.9% | 0.28 | 0.12 | 1.3x | 8 | 7% |
| SMA 크로스오버 fast=55, slow=269 |
1.9% | -29.5% | 0.21 | 0.07 | 1.4x | 21 | 52% |
| ADX / DI 방향성 period=40, threshold=31 |
0.1% | -0.8% | 0.21 | 0.09 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=55, slow=198 |
1.6% | -34.7% | 0.19 | 0.05 | 1.3x | 17 | 56% |
| ROC 모멘텀 n=83, threshold=0.17 |
0.6% | -13.9% | 0.13 | 0.04 | 1.1x | 38 | 6% |
| Donchian 채널 돌파 entryN=24, exitN=78 |
-0.8% | -54.7% | 0.04 | -0.01 | 0.9x | 39 | 76% |
| Supertrend period=19, mult=3.8 |
-1.3% | -46.9% | -0.01 | -0.03 | 0.8x | 85 | 59% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=19, mult=1.7 |
-2.1% | -43.3% | -0.12 | -0.05 | 0.7x | 95 | 37% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-3.0% | -66.5% | -0.12 | -0.04 | 0.6x | 207 | 53% |
| MACD fast=19, slow=46, signal=8 |
-4.1% | -72.5% | -0.20 | -0.06 | 0.5x | 235 | 49% |
| Buy and hold | -1.9% | -85.4% | 0.06 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (3× volatility)
- Sell — Sell when the close falls back to the 57-day middle average