Trend-Following Backtester · Guide · backtest 한국어
equity · US
CVR Partners, LP backtest
10 trend-following strategies were compared on the full daily history of CVR Partners, LP. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 13.8%, MDD -18.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.1%, drawdown -98.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 13.8%, MDD -18.5%, Sharpe 0.86, 5% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.9%p higher than buy and hold, while drawdown improves by 79.6%p (CAGR 13.8%, MDD -18.5%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=35 |
13.8% | -18.5% | 0.86 | 0.74 | 7.3x | 6 | 5% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
11.4% | -46.8% | 0.62 | 0.24 | 5.3x | 14 | 13% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=13, mult=4 |
8.6% | -31.4% | 0.53 | 0.27 | 3.5x | 18 | 9% |
| Supertrend period=5, mult=3.7 |
11.3% | -62.9% | 0.49 | 0.18 | 5.2x | 67 | 46% |
| ROC 모멘텀 n=29, threshold=0.21 |
7.8% | -41.9% | 0.46 | 0.19 | 3.2x | 102 | 11% |
| EMA 크로스오버 fast=76, slow=123 |
9.6% | -67.7% | 0.46 | 0.14 | 4.1x | 21 | 42% |
| SMA 크로스오버 fast=30, slow=72 |
9.9% | -59.1% | 0.45 | 0.17 | 4.3x | 51 | 45% |
| Donchian 채널 돌파 entryN=11, exitN=16 |
6.5% | -64.9% | 0.35 | 0.10 | 2.6x | 116 | 53% |
| Parabolic SAR step=0.02, maxStep=0.28 |
3.1% | -71.6% | 0.26 | 0.04 | 1.6x | 309 | 47% |
| MACD fast=17, slow=51, signal=9 |
0.8% | -82.8% | 0.19 | 0.01 | 1.1x | 209 | 50% |
| Buy and hold | -2.1% | -98.1% | 0.21 | -0.02 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)