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United States Natural Gas Fund LP backtest

10 trend-following strategies were compared on the full daily history of United States Natural Gas Fund LP. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.0%, MDD -26.6%).

Data 2007-04-18 ~ 2026-07-31daily bars 4,853 (19.3 years)Costs 0.5%Venue XASEMonthly snapshot 2026-07-31

Results by strategy

10 of 10 beat buy and hold (CAGR -28.5%, drawdown -99.9%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -39.6%, Sharpe 0.26, 12% exposure.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 31.8%p higher than buy and hold, while drawdown improves by 60.2%p (CAGR -0.0%, MDD -26.6%, exposure 3%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
볼린저 밴드 돌파
n=45, k=2.7
3.3%-39.6%0.260.081.9x2612%
Keltner 채널 돌파
emaPeriod=44, atrPeriod=9, mult=4
2.0%-37.5%0.200.051.5x2410%
Donchian 채널 돌파
entryN=124, exitN=22
1.8%-47.4%0.190.041.4x2211%
ADX / DI 방향성
period=24, threshold=27
-0.0%-26.6%0.06-0.001.0x203%
SMA 크로스오버
fast=32, slow=185
-2.3%-67.6%0.04-0.030.6x2624%
EMA 크로스오버
fast=52, slow=99
-2.6%-70.4%0.02-0.040.6x2222%
ROC 모멘텀
n=106, threshold=0.18
-4.7%-65.6%-0.09-0.070.4x9014%
Supertrend
period=14, mult=3.9
-12.9%-93.3%-0.30-0.140.1x10836%
MACD
fast=13, slow=41, signal=14
-18.5%-98.7%-0.36-0.190.0x26253%
Parabolic SAR
step=0.005, maxStep=0.38
-17.7%-98.3%-0.42-0.180.0x17841%
Buy and hold-28.5%-99.9%-0.44-0.290.0x1100%
0.01 0.1 1x 2008 2011 2014 2017 2020 2023 2026 볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -25% -50% -75% -100% 2008 2011 2014 2017 2020 2023 2026 Buy and hold볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -39.6% (2022-06-06 → 2025-01-03), prior peak not yet recovered.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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