Trend-Following Backtester · Guide · backtest 한국어
equity · US
Delek Logistics Partners, L.P. backtest
10 trend-following strategies were compared on the full daily history of Delek Logistics Partners, L.P.. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 8.2%, MDD -59.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 7.5%, drawdown -88.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.6%, MDD -14.3%, Sharpe 0.59, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.2%, MDD -69.3%, exposure 96%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: Parabolic SAR — CAGR is 2.8%p lower than buy and hold, while drawdown improves by 74.0%p (CAGR 8.2%, MDD -59.2%, exposure 54%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3.4 |
4.6% | -14.3% | 0.59 | 0.33 | 1.9x | 2 | 1% |
| ROC 모멘텀 n=16, threshold=0.17 |
5.0% | -19.0% | 0.51 | 0.27 | 2.0x | 46 | 4% |
| MACD fast=19, slow=26, signal=23 |
10.9% | -60.2% | 0.49 | 0.18 | 4.2x | 151 | 53% |
| Donchian 채널 돌파 Hold-like · Exposure 96% entryN=1, exitN=74 |
12.2% | -69.3% | 0.48 | 0.18 | 4.9x | 49 | 96% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=15, mult=2 |
4.8% | -30.3% | 0.44 | 0.16 | 1.9x | 38 | 7% |
| Parabolic SAR step=0.005, maxStep=0.22 |
8.2% | -59.2% | 0.40 | 0.14 | 3.0x | 113 | 54% |
| ADX / DI 방향성 period=13, threshold=30 |
3.1% | -32.3% | 0.28 | 0.10 | 1.5x | 60 | 14% |
| Supertrend period=28, mult=4.7 |
2.8% | -54.4% | 0.24 | 0.05 | 1.5x | 37 | 43% |
| SMA 크로스오버 fast=20, slow=30 |
1.9% | -66.8% | 0.20 | 0.03 | 1.3x | 139 | 55% |
| EMA 크로스오버 fast=56, slow=110 |
-2.9% | -66.7% | 0.01 | -0.04 | 0.7x | 31 | 58% |
| Buy and hold | 7.5% | -88.2% | 0.38 | 0.08 | 2.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 14-day middle average