Trend-Following Backtester · Guide · backtest 한국어
etf · US
United States Natural Gas Fund LP backtest
10 trend-following strategies were compared on the full daily history of United States Natural Gas Fund LP. 10 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 -0.0%, MDD -26.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -28.5%, drawdown -99.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -39.6%, Sharpe 0.26, 12% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.8%p higher than buy and hold, while drawdown improves by 60.2%p (CAGR -0.0%, MDD -26.6%, exposure 3%).
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=45, k=2.7 |
3.3% | -39.6% | 0.26 | 0.08 | 1.9x | 26 | 12% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=9, mult=4 |
2.0% | -37.5% | 0.20 | 0.05 | 1.5x | 24 | 10% |
| Donchian 채널 돌파 entryN=124, exitN=22 |
1.8% | -47.4% | 0.19 | 0.04 | 1.4x | 22 | 11% |
| ADX / DI 방향성 period=24, threshold=27 |
-0.0% | -26.6% | 0.06 | -0.00 | 1.0x | 20 | 3% |
| SMA 크로스오버 fast=32, slow=185 |
-2.3% | -67.6% | 0.04 | -0.03 | 0.6x | 26 | 24% |
| EMA 크로스오버 fast=52, slow=99 |
-2.6% | -70.4% | 0.02 | -0.04 | 0.6x | 22 | 22% |
| ROC 모멘텀 n=106, threshold=0.18 |
-4.7% | -65.6% | -0.09 | -0.07 | 0.4x | 90 | 14% |
| Supertrend period=14, mult=3.9 |
-12.9% | -93.3% | -0.30 | -0.14 | 0.1x | 108 | 36% |
| MACD fast=13, slow=41, signal=14 |
-18.5% | -98.7% | -0.36 | -0.19 | 0.0x | 262 | 53% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-17.7% | -98.3% | -0.42 | -0.18 | 0.0x | 178 | 41% |
| Buy and hold | -28.5% | -99.9% | -0.44 | -0.29 | 0.0x | 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 45-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 45-day middle average