Trend-Following Backtester · Guide · backtest 한국어
equity · US
Global Partners LP backtest
10 trend-following strategies were compared on the full daily history of Global Partners LP. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.9%, MDD -25.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.7%, drawdown -83.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -51.8%, Sharpe 0.48, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 31.7%p (CAGR 4.9%, MDD -25.5%, exposure 12%).
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=52, slow=114 |
9.4% | -51.8% | 0.48 | 0.18 | 6.6x | 45 | 57% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
4.9% | -25.5% | 0.48 | 0.19 | 2.7x | 18 | 12% |
| EMA 크로스오버 fast=50, slow=203 |
6.6% | -56.9% | 0.38 | 0.12 | 3.8x | 25 | 62% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=15, mult=3.5 |
3.5% | -54.6% | 0.31 | 0.06 | 2.1x | 48 | 22% |
| ADX / DI 방향성 period=44, threshold=28 |
1.6% | -17.7% | 0.29 | 0.09 | 1.4x | 6 | 3% |
| ROC 모멘텀 n=85, threshold=-0.04 |
4.0% | -72.1% | 0.28 | 0.06 | 2.3x | 201 | 66% |
| Donchian 채널 돌파 entryN=47, exitN=75 |
2.2% | -57.3% | 0.21 | 0.04 | 1.6x | 45 | 62% |
| Supertrend period=25, mult=4.5 |
-1.4% | -66.4% | 0.07 | -0.02 | 0.7x | 74 | 55% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-1.7% | -76.5% | 0.07 | -0.02 | 0.7x | 352 | 53% |
| MACD fast=14, slow=52, signal=12 |
-6.1% | -85.5% | -0.10 | -0.07 | 0.3x | 314 | 52% |
| Buy and hold | 3.7% | -83.5% | 0.29 | 0.04 | 2.2x | 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 52-day average price crosses above the 114-day average
- Sell — Sell (to cash) when the 52-day average falls below the 114-day average