Trend-Following Backtester · Guide · backtest 한국어
etf · US
USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund backtest
10 trend-following strategies were compared on the full daily history of USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.9%, MDD -18.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.2%, drawdown -46.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.9%, MDD -18.5%, Sharpe 0.79, 61% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 28.1%p (CAGR 10.9%, MDD -18.5%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=138, threshold=-0.03 |
10.9% | -18.5% | 0.79 | 0.59 | 2.4x | 21 | 61% |
| SMA 크로스오버 fast=53, slow=96 |
8.8% | -19.1% | 0.71 | 0.46 | 2.0x | 13 | 53% |
| EMA 크로스오버 fast=47, slow=102 |
7.9% | -26.4% | 0.61 | 0.30 | 1.9x | 11 | 54% |
| 볼린저 밴드 돌파 n=72, k=2 |
6.0% | -23.3% | 0.56 | 0.26 | 1.6x | 20 | 36% |
| ADX / DI 방향성 period=39, threshold=20 |
2.4% | -12.6% | 0.45 | 0.19 | 1.2x | 10 | 13% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=22, mult=4 |
4.3% | -24.0% | 0.42 | 0.18 | 1.4x | 21 | 39% |
| Donchian 채널 돌파 entryN=47, exitN=74 |
4.9% | -25.2% | 0.41 | 0.20 | 1.5x | 19 | 63% |
| Supertrend period=34, mult=4.8 |
-0.4% | -31.6% | 0.03 | -0.01 | 1.0x | 53 | 53% |
| MACD fast=22, slow=69, signal=23 |
-1.0% | -48.7% | 0.01 | -0.02 | 0.9x | 57 | 53% |
| Parabolic SAR step=0.025, maxStep=0.16 |
-5.2% | -46.0% | -0.33 | -0.11 | 0.6x | 168 | 53% |
| Buy and hold | 3.2% | -46.6% | 0.26 | 0.07 | 1.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 138-day return is greater than -3%
- Sell — Sell when the 138-day return drops to -3% or below