Trend-Following Backtester · Guide · backtest 한국어
equity · US
Antero Midstream Corporation backtest
10 trend-following strategies were compared on the full daily history of Antero Midstream Corporation. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 1.0%, MDD -4.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.1%, drawdown -91.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.5%, MDD -30.4%, Sharpe 0.57, 63% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 60.8%p (CAGR 1.0%, MDD -4.9%, exposure 1%).
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=32, slow=241 |
11.5% | -30.4% | 0.57 | 0.38 | 2.7x | 7 | 63% |
| ROC 모멘텀 n=116, threshold=-0.1 |
9.4% | -38.5% | 0.47 | 0.24 | 2.3x | 33 | 74% |
| EMA 크로스오버 fast=53, slow=146 |
8.3% | -35.0% | 0.45 | 0.24 | 2.1x | 11 | 62% |
| MACD fast=16, slow=57, signal=6 |
8.3% | -48.6% | 0.43 | 0.17 | 2.1x | 150 | 50% |
| Donchian 채널 돌파 entryN=44, exitN=76 |
7.5% | -35.3% | 0.40 | 0.21 | 1.9x | 13 | 67% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=14, mult=3.9 |
1.0% | -4.9% | 0.39 | 0.19 | 1.1x | 2 | 1% |
| Parabolic SAR step=0.01, maxStep=0.08 |
7.0% | -50.8% | 0.38 | 0.14 | 1.9x | 132 | 55% |
| ADX / DI 방향성 period=21, threshold=13 |
3.2% | -54.2% | 0.25 | 0.06 | 1.3x | 116 | 37% |
| Supertrend period=20, mult=2.8 |
2.7% | -40.9% | 0.23 | 0.07 | 1.3x | 74 | 54% |
| 볼린저 밴드 돌파 n=13, k=1.8 |
-0.3% | -54.8% | 0.09 | -0.01 | 1.0x | 126 | 30% |
| Buy and hold | -0.1% | -91.2% | 0.20 | -0.00 | 1.0x | 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 32-day average price crosses above the 241-day average
- Sell — Sell (to cash) when the 32-day average falls below the 241-day average