Trend-Following Backtester · Guide · backtest 한국어
etf · US
United States Gasoline Fund LP backtest
10 trend-following strategies were compared on the full daily history of United States Gasoline Fund LP. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 12.8%, MDD -34.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.0%, drawdown -86.6%).
Sharpe leader (same as main): MACD — CAGR 12.8%, MDD -34.2%, Sharpe 0.62, 52% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.7%, MDD -50.2%, exposure 79%.
Return/drawdown alternative: MACD — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 52.4%p (CAGR 12.8%, MDD -34.2%, exposure 52%).
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=28, slow=42, signal=31 |
12.8% | -34.2% | 0.62 | 0.37 | 9.3x | 133 | 52% |
| Donchian 채널 돌파 entryN=12, exitN=52 |
13.7% | -50.2% | 0.59 | 0.27 | 10.8x | 69 | 79% |
| SMA 크로스오버 fast=36, slow=134 |
9.9% | -64.2% | 0.52 | 0.15 | 5.8x | 35 | 59% |
| Supertrend period=17, mult=3.2 |
10.0% | -48.7% | 0.52 | 0.20 | 5.8x | 141 | 55% |
| ROC 모멘텀 n=16, threshold=-0.11 |
10.8% | -70.7% | 0.48 | 0.15 | 6.8x | 133 | 93% |
| 볼린저 밴드 돌파 n=18, k=2.5 |
4.0% | -30.8% | 0.38 | 0.13 | 2.1x | 60 | 13% |
| EMA 크로스오버 fast=57, slow=215 |
5.7% | -62.2% | 0.36 | 0.09 | 2.8x | 29 | 58% |
| ADX / DI 방향성 period=15, threshold=38 |
2.4% | -20.2% | 0.34 | 0.12 | 1.6x | 15 | 3% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.3% | -62.0% | 0.30 | 0.07 | 2.2x | 173 | 53% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=26, mult=3.1 |
3.3% | -42.7% | 0.29 | 0.08 | 1.8x | 73 | 22% |
| Buy and hold | 6.0% | -86.6% | 0.34 | 0.07 | 2.9x | 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 (28/42) crosses above its 31-day signal line
- Sell — Sell when the MACD line crosses back below the signal line