Trend-Following Backtester · Guide · backtest 한국어
equity · US
Kimbell Royalty Partners backtest
10 trend-following strategies were compared on the full daily history of Kimbell Royalty Partners. 9 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 3.4%, MDD -12.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.4%, drawdown -83.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.4%, MDD -12.4%, Sharpe 0.41, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.5%, MDD -30.7%, exposure 43%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 71.5%p (CAGR 3.4%, MDD -12.4%, exposure 4%).
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=19, k=3.2 |
3.4% | -12.4% | 0.41 | 0.28 | 1.4x | 10 | 4% |
| SMA 크로스오버 fast=11, slow=267 |
4.5% | -30.7% | 0.32 | 0.15 | 1.5x | 15 | 43% |
| Donchian 채널 돌파 entryN=20, exitN=31 |
4.5% | -47.3% | 0.30 | 0.09 | 1.5x | 35 | 56% |
| ROC 모멘텀 n=24, threshold=0.1 |
3.2% | -29.6% | 0.26 | 0.11 | 1.4x | 84 | 15% |
| EMA 크로스오버 fast=47, slow=123 |
2.8% | -38.4% | 0.23 | 0.07 | 1.3x | 15 | 44% |
| Supertrend period=28, mult=4.2 |
2.2% | -46.4% | 0.22 | 0.05 | 1.2x | 29 | 51% |
| ADX / DI 방향성 period=17, threshold=25 |
1.5% | -23.8% | 0.18 | 0.06 | 1.2x | 32 | 14% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=16, mult=1.7 |
1.3% | -29.8% | 0.17 | 0.04 | 1.1x | 28 | 8% |
| MACD fast=14, slow=26, signal=11 |
-2.2% | -66.6% | 0.05 | -0.03 | 0.8x | 145 | 48% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-9.4% | -74.3% | -0.19 | -0.13 | 0.4x | 173 | 51% |
| Buy and hold | -3.4% | -83.9% | 0.12 | -0.04 | 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 19-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 19-day middle average