Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genesis Energy, L.P. backtest
10 trend-following strategies were compared on the full daily history of Genesis Energy, L.P.. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.7%, MDD -18.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.0%, drawdown -94.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.7%, MDD -18.6%, Sharpe 0.45, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.8%, MDD -69.0%, exposure 52%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 76.1%p (CAGR 4.7%, MDD -18.6%, exposure 8%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=42, k=3.2 |
4.7% | -18.6% | 0.45 | 0.25 | 3.9x | 22 | 8% |
| SMA 크로스오버 fast=25, slow=207 |
4.8% | -69.0% | 0.31 | 0.07 | 4.0x | 54 | 52% |
| Donchian 채널 돌파 entryN=81, exitN=57 |
4.6% | -78.7% | 0.31 | 0.06 | 3.9x | 44 | 46% |
| ROC 모멘텀 n=195, threshold=0.11 |
3.8% | -70.5% | 0.28 | 0.05 | 3.0x | 200 | 39% |
| EMA 크로스오버 fast=42, slow=146 |
3.1% | -80.1% | 0.25 | 0.04 | 2.5x | 48 | 52% |
| Supertrend period=19, mult=1.5 |
0.2% | -88.1% | 0.16 | 0.00 | 1.1x | 505 | 54% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-2.4% | -87.0% | 0.09 | -0.03 | 0.5x | 379 | 53% |
| ADX / DI 방향성 period=32, threshold=16 |
-1.0% | -60.3% | 0.04 | -0.02 | 0.7x | 140 | 20% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=1.9 |
-2.3% | -75.7% | 0.02 | -0.03 | 0.5x | 160 | 35% |
| MACD fast=15, slow=43, signal=8 |
-5.4% | -94.4% | 0.01 | -0.06 | 0.2x | 527 | 51% |
| Buy and hold | -1.0% | -94.8% | 0.23 | -0.01 | 0.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 42-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 42-day middle average