Trend-Following Backtester · Guide · backtest 한국어
equity · US
Brookfield Infrastructure Partners LP Limited Partnership backtest
10 trend-following strategies were compared on the full daily history of Brookfield Infrastructure Partners LP Limited Partnership. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -59.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -51.8%, Sharpe 0.52, 68% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=73, slow=187 |
8.9% | -51.8% | 0.52 | 0.17 | 4.9x | 21 | 68% |
| EMA 크로스오버 fast=68, slow=206 |
6.5% | -51.8% | 0.42 | 0.13 | 3.2x | 13 | 69% |
| Donchian 채널 돌파 entryN=116, exitN=75 |
4.9% | -33.0% | 0.38 | 0.15 | 2.4x | 21 | 55% |
| ROC 모멘텀 n=150, threshold=-0.02 |
4.9% | -54.4% | 0.36 | 0.09 | 2.4x | 111 | 70% |
| 볼린저 밴드 돌파 n=51, k=3.3 |
1.7% | -12.9% | 0.32 | 0.13 | 1.4x | 12 | 8% |
| Supertrend period=30, mult=3 |
1.9% | -31.9% | 0.19 | 0.06 | 1.4x | 124 | 64% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=25, mult=4 |
0.5% | -15.8% | 0.13 | 0.03 | 1.1x | 12 | 5% |
| MACD fast=18, slow=40, signal=12 |
-2.1% | -52.2% | -0.03 | -0.04 | 0.7x | 266 | 50% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-2.5% | -61.3% | -0.04 | -0.04 | 0.6x | 254 | 58% |
| ADX / DI 방향성 period=25, threshold=37 |
-0.1% | -8.4% | -0.04 | -0.01 | 1.0x | 4 | 0% |
| Buy and hold | 9.0% | -59.3% | 0.44 | 0.15 | 5.0x | 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 73-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 73-day average falls below the 187-day average