Trend-Following Backtester · Guide · backtest 한국어
equity · US
Plains All American Pipeline, L.P. backtest
10 trend-following strategies were compared on the full daily history of Plains All American Pipeline, L.P.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -48.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.3%, drawdown -94.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.0%, MDD -48.6%, Sharpe 0.49, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 46.0%p (CAGR 8.0%, MDD -48.6%, exposure 62%).
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=51, slow=150 |
8.0% | -48.6% | 0.49 | 0.16 | 8.3x | 35 | 62% |
| EMA 크로스오버 fast=41, slow=130 |
5.5% | -48.6% | 0.37 | 0.11 | 4.4x | 45 | 64% |
| Donchian 채널 돌파 entryN=22, exitN=58 |
5.9% | -53.8% | 0.37 | 0.11 | 4.8x | 57 | 77% |
| ROC 모멘텀 n=48, threshold=-0.1 |
4.5% | -58.3% | 0.31 | 0.08 | 3.4x | 145 | 87% |
| ADX / DI 방향성 period=33, threshold=29 |
0.6% | -8.1% | 0.24 | 0.08 | 1.2x | 8 | 3% |
| 볼린저 밴드 돌파 n=19, k=2.3 |
0.7% | -42.7% | 0.12 | 0.02 | 1.2x | 162 | 21% |
| Supertrend period=8, mult=4.9 |
-0.5% | -63.2% | 0.08 | -0.01 | 0.9x | 85 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=19, mult=2.6 |
-0.8% | -54.7% | 0.00 | -0.02 | 0.8x | 113 | 30% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-6.5% | -93.3% | -0.23 | -0.07 | 0.2x | 479 | 56% |
| MACD fast=14, slow=50, signal=7 |
-9.4% | -97.4% | -0.37 | -0.10 | 0.1x | 541 | 52% |
| Buy and hold | 3.3% | -94.6% | 0.28 | 0.03 | 2.4x | 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 51-day average price crosses above the 150-day average
- Sell — Sell (to cash) when the 51-day average falls below the 150-day average