Trend-Following Backtester · Guide · backtest 한국어
equity · US
Black Stone Minerals, L.P. backtest
10 trend-following strategies were compared on the full daily history of Black Stone Minerals, L.P.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.5%, MDD -10.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR -2.2%, drawdown -78.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -39.0%, Sharpe 0.37, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.7%p higher than buy and hold, while drawdown improves by 39.9%p (CAGR -0.5%, MDD -10.3%, exposure 0%).
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=38, slow=228 |
5.6% | -39.0% | 0.37 | 0.14 | 1.8x | 13 | 48% |
| EMA 크로스오버 fast=49, slow=135 |
2.9% | -36.8% | 0.25 | 0.08 | 1.4x | 17 | 46% |
| Donchian 채널 돌파 entryN=94, exitN=76 |
2.6% | -37.0% | 0.23 | 0.07 | 1.3x | 12 | 47% |
| ROC 모멘텀 n=137, threshold=-0.01 |
2.6% | -48.2% | 0.23 | 0.05 | 1.3x | 79 | 51% |
| Supertrend period=13, mult=3.1 |
-0.0% | -48.5% | 0.10 | -0.00 | 1.0x | 65 | 46% |
| 볼린저 밴드 돌파 n=16, k=2.7 |
-0.1% | -29.4% | 0.03 | -0.00 | 1.0x | 24 | 7% |
| ADX / DI 방향성 period=32, threshold=26 |
-0.5% | -10.3% | -0.11 | -0.05 | 0.9x | 6 | 0% |
| MACD fast=7, slow=33, signal=15 |
-5.1% | -64.6% | -0.12 | -0.08 | 0.6x | 205 | 50% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-6.4% | -56.7% | -0.19 | -0.11 | 0.5x | 187 | 50% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=37, mult=3.4 |
-2.3% | -32.1% | -0.19 | -0.07 | 0.8x | 18 | 8% |
| Buy and hold | -2.2% | -78.9% | 0.10 | -0.03 | 0.8x | 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 38-day average price crosses above the 228-day average
- Sell — Sell (to cash) when the 38-day average falls below the 228-day average