Trend-Following Backtester · Guide · backtest 한국어
equity · US
MPLX LP backtest
10 trend-following strategies were compared on the full daily history of MPLX LP. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -45.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.7%, drawdown -89.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -10.3%, Sharpe 0.54, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 8.0%, MDD -45.0%, exposure 63%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p lower than buy and hold, while drawdown improves by 79.6%p (CAGR 8.0%, MDD -45.0%, exposure 63%).
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=55, k=3.5 |
2.8% | -10.3% | 0.54 | 0.27 | 1.5x | 2 | 4% |
| SMA 크로스오버 fast=17, slow=206 |
8.0% | -45.0% | 0.49 | 0.18 | 2.9x | 19 | 63% |
| EMA 크로스오버 fast=63, slow=199 |
7.3% | -57.9% | 0.46 | 0.13 | 2.6x | 11 | 62% |
| ADX / DI 방향성 period=25, threshold=30 |
2.8% | -16.9% | 0.44 | 0.17 | 1.5x | 10 | 6% |
| ROC 모멘텀 n=131, threshold=-0.04 |
5.9% | -57.8% | 0.38 | 0.10 | 2.2x | 99 | 72% |
| Donchian 채널 돌파 entryN=105, exitN=63 |
4.9% | -48.4% | 0.36 | 0.10 | 1.9x | 15 | 55% |
| Supertrend period=22, mult=4.3 |
4.1% | -55.6% | 0.29 | 0.07 | 1.7x | 43 | 64% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=28, mult=3.5 |
0.6% | -14.9% | 0.13 | 0.04 | 1.1x | 14 | 7% |
| Parabolic SAR step=0.015, maxStep=0.12 |
0.2% | -53.0% | 0.11 | 0.00 | 1.0x | 251 | 54% |
| MACD fast=13, slow=45, signal=23 |
-2.4% | -61.9% | -0.02 | -0.04 | 0.7x | 155 | 49% |
| Buy and hold | 5.7% | -89.8% | 0.33 | 0.06 | 2.1x | 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 55-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 55-day middle average