Trend-Following Backtester · Guide · backtest 한국어
etf · US
United States Brent Oil Fund, LP ETV backtest
10 trend-following strategies were compared on the full daily history of United States Brent Oil Fund, LP ETV. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 6.6%, MDD -24.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.2%, drawdown -87.1%).
Sharpe leader (same as main): MACD — CAGR 12.8%, MDD -51.1%, Sharpe 0.65, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 36.0%p (CAGR 6.6%, MDD -24.6%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=24, slow=35, signal=40 |
12.8% | -51.1% | 0.65 | 0.25 | 7.0x | 111 | 52% |
| Donchian 채널 돌파 entryN=109, exitN=7 |
6.6% | -24.6% | 0.57 | 0.27 | 2.8x | 50 | 16% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=10, mult=3.4 |
7.3% | -36.2% | 0.50 | 0.20 | 3.1x | 44 | 29% |
| 볼린저 밴드 돌파 n=55, k=2 |
6.9% | -34.8% | 0.47 | 0.20 | 2.9x | 52 | 31% |
| SMA 크로스오버 fast=9, slow=58 |
6.6% | -53.6% | 0.40 | 0.12 | 2.8x | 99 | 55% |
| Supertrend period=14, mult=4.4 |
5.6% | -58.3% | 0.36 | 0.10 | 2.4x | 81 | 52% |
| EMA 크로스오버 fast=28, slow=126 |
5.5% | -45.9% | 0.35 | 0.12 | 2.4x | 35 | 56% |
| ADX / DI 방향성 period=35, threshold=15 |
3.5% | -34.8% | 0.30 | 0.10 | 1.7x | 60 | 17% |
| ROC 모멘텀 n=60, threshold=0.12 |
3.3% | -34.7% | 0.27 | 0.09 | 1.7x | 160 | 24% |
| Parabolic SAR step=0.015, maxStep=0.14 |
2.1% | -64.0% | 0.21 | 0.03 | 1.4x | 272 | 53% |
| Buy and hold | 4.2% | -87.1% | 0.29 | 0.05 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (24/35) crosses above its 40-day signal line
- Sell — Sell when the MACD line crosses back below the signal line