Trend-Following Backtester · Guide · backtest 한국어
equity · US
USA Compression Partners, LP backtest
10 trend-following strategies were compared on the full daily history of USA Compression Partners, LP. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.6%, MDD -30.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.5%, drawdown -86.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -30.4%, Sharpe 0.40, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 56.4%p (CAGR 6.6%, MDD -30.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=67, slow=85 |
6.6% | -30.4% | 0.40 | 0.22 | 2.4x | 56 | 52% |
| Donchian 채널 돌파 entryN=28, exitN=66 |
5.1% | -52.5% | 0.32 | 0.10 | 2.0x | 27 | 77% |
| 볼린저 밴드 돌파 n=29, k=3.5 |
1.2% | -12.0% | 0.25 | 0.10 | 1.2x | 8 | 5% |
| EMA 크로스오버 fast=58, slow=160 |
2.6% | -34.3% | 0.23 | 0.08 | 1.4x | 17 | 59% |
| ROC 모멘텀 n=8, threshold=0.14 |
1.7% | -29.4% | 0.19 | 0.06 | 1.3x | 58 | 3% |
| ADX / DI 방향성 period=18, threshold=39 |
0.3% | -6.1% | 0.17 | 0.04 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=18, mult=2 |
1.3% | -34.3% | 0.16 | 0.04 | 1.2x | 60 | 22% |
| Supertrend period=32, mult=2.5 |
-3.0% | -56.1% | 0.02 | -0.05 | 0.7x | 114 | 52% |
| MACD fast=8, slow=55, signal=15 |
-3.8% | -62.2% | -0.00 | -0.06 | 0.6x | 234 | 51% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-4.4% | -61.7% | -0.03 | -0.07 | 0.5x | 290 | 53% |
| Buy and hold | 2.5% | -86.8% | 0.28 | 0.03 | 1.4x | 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 67-day average price crosses above the 85-day average
- Sell — Sell (to cash) when the 67-day average falls below the 85-day average