Trend-Following Backtester · Guide · backtest 한국어
equity · US
Energy Transfer LP backtest
10 trend-following strategies were compared on the full daily history of Energy Transfer LP. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.7%, MDD -37.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.2%, drawdown -88.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.7%, MDD -37.1%, Sharpe 0.67, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 51.4%p (CAGR 12.7%, MDD -37.1%, exposure 60%).
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=66, slow=143 |
12.7% | -37.1% | 0.67 | 0.34 | 11.7x | 25 | 60% |
| EMA 크로스오버 fast=33, slow=69 |
11.2% | -53.8% | 0.62 | 0.21 | 9.0x | 43 | 63% |
| Supertrend period=5, mult=5 |
10.7% | -53.5% | 0.61 | 0.20 | 8.2x | 56 | 55% |
| 볼린저 밴드 돌파 n=59, k=3.5 |
4.6% | -16.4% | 0.57 | 0.28 | 2.5x | 12 | 13% |
| Donchian 채널 돌파 entryN=23, exitN=57 |
11.7% | -71.2% | 0.57 | 0.16 | 9.8x | 47 | 79% |
| ROC 모멘텀 n=139, threshold=-0.02 |
8.9% | -38.1% | 0.50 | 0.23 | 5.8x | 105 | 66% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=20, mult=1.5 |
6.3% | -57.6% | 0.42 | 0.11 | 3.5x | 126 | 48% |
| ADX / DI 방향성 period=29, threshold=10 |
6.4% | -48.9% | 0.41 | 0.13 | 3.6x | 208 | 48% |
| MACD fast=15, slow=50, signal=13 |
-2.9% | -87.1% | 0.01 | -0.03 | 0.5x | 280 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-4.0% | -75.0% | -0.06 | -0.05 | 0.4x | 360 | 57% |
| Buy and hold | 6.2% | -88.5% | 0.35 | 0.07 | 3.5x | 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 66-day average price crosses above the 143-day average
- Sell — Sell (to cash) when the 66-day average falls below the 143-day average