Trend-Following Backtester · Guide · backtest 한국어
equity · US
Plains GP Holdings, L.P. backtest
10 trend-following strategies were compared on the full daily history of Plains GP Holdings, L.P.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -7.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -5.6%, drawdown -95.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -7.2%, Sharpe 0.47, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.9%, MDD -62.3%, exposure 74%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 88.7%p (CAGR 1.7%, MDD -7.2%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=36, threshold=27 |
1.7% | -7.2% | 0.47 | 0.23 | 1.2x | 4 | 3% |
| 볼린저 밴드 돌파 n=23, k=3 |
1.6% | -7.5% | 0.41 | 0.21 | 1.2x | 4 | 3% |
| Donchian 채널 돌파 entryN=20, exitN=76 |
5.9% | -62.3% | 0.35 | 0.09 | 2.1x | 29 | 74% |
| SMA 크로스오버 fast=30, slow=129 |
5.0% | -51.4% | 0.33 | 0.10 | 1.9x | 23 | 56% |
| EMA 크로스오버 fast=59, slow=104 |
3.1% | -41.6% | 0.25 | 0.07 | 1.5x | 21 | 56% |
| ROC 모멘텀 n=48, threshold=-0.09 |
2.9% | -62.2% | 0.24 | 0.05 | 1.4x | 103 | 77% |
| Supertrend period=25, mult=2.9 |
1.5% | -61.7% | 0.18 | 0.02 | 1.2x | 89 | 58% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.5% | -76.8% | 0.04 | -0.03 | 0.7x | 113 | 54% |
| MACD fast=18, slow=56, signal=18 |
-5.9% | -80.6% | -0.08 | -0.07 | 0.5x | 145 | 47% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=16, mult=2.2 |
-2.5% | -46.1% | -0.11 | -0.05 | 0.7x | 63 | 20% |
| Buy and hold | -5.6% | -95.9% | 0.10 | -0.06 | 0.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 36-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)