Trend-Following Backtester · Guide · backtest 한국어
equity · US
Cheniere Energy Partners, LP backtest
10 trend-following strategies were compared on the full daily history of Cheniere Energy Partners, LP. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 10.1%, MDD -37.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.2%, drawdown -83.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 10.1%, MDD -37.0%, Sharpe 0.50, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 10.1%, MDD -37.0%, 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=47, slow=124 |
10.1% | -37.0% | 0.50 | 0.27 | 6.5x | 45 | 58% |
| EMA 크로스오버 fast=45, slow=163 |
6.5% | -44.1% | 0.37 | 0.15 | 3.4x | 35 | 61% |
| Donchian 채널 돌파 entryN=54, exitN=78 |
3.3% | -63.7% | 0.26 | 0.05 | 1.9x | 31 | 62% |
| ROC 모멘텀 n=135, threshold=-0.01 |
2.5% | -62.6% | 0.23 | 0.04 | 1.6x | 167 | 61% |
| ADX / DI 방향성 period=39, threshold=11 |
1.7% | -55.4% | 0.19 | 0.03 | 1.4x | 132 | 31% |
| Supertrend period=21, mult=4.6 |
-0.3% | -61.5% | 0.12 | -0.00 | 0.9x | 59 | 54% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
-0.6% | -56.9% | 0.09 | -0.01 | 0.9x | 105 | 39% |
| Keltner 채널 돌파 emaPeriod=63, atrPeriod=13, mult=1.9 |
-0.8% | -60.5% | 0.07 | -0.01 | 0.9x | 97 | 37% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-4.2% | -75.7% | -0.03 | -0.06 | 0.4x | 334 | 53% |
| MACD fast=14, slow=25, signal=14 |
-6.5% | -78.7% | -0.11 | -0.08 | 0.3x | 313 | 50% |
| Buy and hold | 6.2% | -83.0% | 0.35 | 0.07 | 3.2x | 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 47-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 47-day average falls below the 124-day average