Trend-Following Backtester · Guide · backtest 한국어
equity · US
Energy Transfer LP backtest
10 trend-following strategies were compared on the full daily history of Energy Transfer LP. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.3%, MDD -39.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.4%, drawdown -88.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.3%, MDD -39.8%, Sharpe 0.65, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 48.7%p (CAGR 12.3%, MDD -39.8%, exposure 61%).
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=153 |
12.3% | -39.8% | 0.65 | 0.31 | 10.8x | 27 | 61% |
| EMA 크로스오버 fast=37, slow=64 |
11.9% | -52.5% | 0.65 | 0.23 | 10.0x | 41 | 63% |
| Donchian 채널 돌파 entryN=22, exitN=57 |
12.1% | -70.2% | 0.58 | 0.17 | 10.4x | 47 | 79% |
| ADX / DI 방향성 period=48, threshold=23 |
3.1% | -14.2% | 0.50 | 0.22 | 1.9x | 10 | 7% |
| 볼린저 밴드 돌파 n=69, k=1.3 |
7.5% | -47.6% | 0.49 | 0.16 | 4.4x | 85 | 46% |
| Supertrend period=20, mult=5 |
7.8% | -68.1% | 0.47 | 0.11 | 4.7x | 53 | 62% |
| ROC 모멘텀 n=138, threshold=-0.03 |
8.0% | -56.4% | 0.46 | 0.14 | 4.9x | 115 | 67% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=17, mult=1.5 |
6.9% | -55.4% | 0.45 | 0.13 | 3.9x | 121 | 49% |
| MACD fast=14, slow=39, signal=16 |
-4.0% | -89.7% | -0.03 | -0.04 | 0.4x | 269 | 51% |
| Parabolic SAR step=0.035, maxStep=0.36 |
-6.9% | -87.8% | -0.20 | -0.08 | 0.2x | 637 | 54% |
| Buy and hold | 6.4% | -88.5% | 0.36 | 0.07 | 3.6x | 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 153-day average
- Sell — Sell (to cash) when the 54-day average falls below the 153-day average