Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alliance Resource Partners, L.P. backtest
10 trend-following strategies were compared on the full daily history of Alliance Resource Partners, L.P.. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.7%, MDD -40.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.5%, drawdown -94.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.7%, MDD -40.7%, Sharpe 0.68, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 9.2%p higher than buy and hold, while drawdown improves by 54.2%p (CAGR 15.7%, MDD -40.7%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=54, slow=112 |
15.7% | -40.7% | 0.68 | 0.39 | 51.5x | 58 | 58% |
| Donchian 채널 돌파 entryN=55, exitN=72 |
13.1% | -48.8% | 0.60 | 0.27 | 27.4x | 40 | 60% |
| EMA 크로스오버 fast=37, slow=81 |
12.4% | -50.5% | 0.58 | 0.24 | 23.1x | 62 | 58% |
| ROC 모멘텀 n=135, threshold=0.01 |
10.6% | -48.9% | 0.51 | 0.22 | 15.1x | 197 | 58% |
| Supertrend period=27, mult=5 |
10.3% | -52.0% | 0.51 | 0.20 | 14.0x | 64 | 54% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=2.7 |
5.8% | -45.4% | 0.38 | 0.13 | 4.6x | 84 | 31% |
| 볼린저 밴드 돌파 n=77, k=2 |
5.5% | -41.0% | 0.36 | 0.13 | 4.3x | 76 | 34% |
| ADX / DI 방향성 period=34, threshold=31 |
0.6% | -14.5% | 0.16 | 0.04 | 1.2x | 2 | 1% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-0.4% | -80.3% | 0.12 | -0.01 | 0.9x | 467 | 53% |
| MACD fast=17, slow=42, signal=18 |
-1.7% | -78.0% | 0.07 | -0.02 | 0.6x | 303 | 52% |
| Buy and hold | 6.5% | -94.9% | 0.35 | 0.07 | 5.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 54-day average price crosses above the 112-day average
- Sell — Sell (to cash) when the 54-day average falls below the 112-day average