Trend-Following Backtester · Guide · backtest 한국어
etf · US
USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund backtest
10 trend-following strategies were compared on the full daily history of USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.6%, MDD -18.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.9%, drawdown -46.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.6%, MDD -18.5%, Sharpe 0.82, 61% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 11.6%, MDD -18.5%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=138, threshold=-0.03 |
11.6% | -18.5% | 0.82 | 0.62 | 2.5x | 21 | 61% |
| SMA 크로스오버 fast=53, slow=96 |
8.7% | -19.1% | 0.70 | 0.45 | 2.0x | 15 | 52% |
| EMA 크로스오버 fast=47, slow=102 |
8.5% | -26.4% | 0.65 | 0.32 | 2.0x | 11 | 55% |
| 볼린저 밴드 돌파 n=72, k=2 |
5.9% | -23.3% | 0.56 | 0.26 | 1.6x | 21 | 36% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=22, mult=4 |
4.9% | -24.0% | 0.47 | 0.21 | 1.5x | 21 | 40% |
| Donchian 채널 돌파 entryN=47, exitN=74 |
5.6% | -25.2% | 0.45 | 0.22 | 1.6x | 19 | 64% |
| ADX / DI 방향성 period=39, threshold=20 |
2.4% | -12.6% | 0.45 | 0.19 | 1.2x | 10 | 13% |
| Supertrend period=34, mult=4.8 |
0.3% | -31.6% | 0.09 | 0.01 | 1.0x | 53 | 53% |
| MACD fast=22, slow=69, signal=23 |
-0.3% | -48.7% | 0.05 | -0.01 | 1.0x | 57 | 54% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-5.1% | -46.0% | -0.32 | -0.11 | 0.6x | 170 | 53% |
| Buy and hold | 3.9% | -46.6% | 0.30 | 0.08 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 138-day return is greater than -3%
- Sell — Sell when the 138-day return drops to -3% or below