Trend-Following Backtester · Guide · backtest 한국어
equity · US
Enterprise Products Partners L.P. backtest
10 trend-following strategies were compared on the full daily history of Enterprise Products Partners L.P.. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.5%, MDD -40.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.2%, drawdown -70.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.5%, MDD -40.9%, Sharpe 0.53, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 29.3%p (CAGR 7.5%, MDD -40.9%, exposure 60%).
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=57, slow=121 |
7.5% | -40.9% | 0.53 | 0.18 | 7.5x | 57 | 60% |
| ROC 모멘텀 n=138, threshold=-0.08 |
7.3% | -52.4% | 0.47 | 0.14 | 7.2x | 141 | 83% |
| EMA 크로스오버 fast=66, slow=165 |
6.9% | -47.9% | 0.47 | 0.14 | 6.4x | 33 | 70% |
| Donchian 채널 돌파 entryN=82, exitN=41 |
5.4% | -38.7% | 0.43 | 0.14 | 4.3x | 49 | 48% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
0.4% | -17.3% | 0.12 | 0.02 | 1.1x | 20 | 4% |
| ADX / DI 방향성 period=37, threshold=30 |
0.1% | -1.4% | 0.08 | 0.04 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=2.1 |
-0.6% | -35.5% | 0.02 | -0.02 | 0.8x | 144 | 41% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.4% | -68.4% | -0.05 | -0.03 | 0.5x | 233 | 55% |
| Supertrend period=29, mult=2.6 |
-3.0% | -82.4% | -0.08 | -0.04 | 0.4x | 249 | 63% |
| MACD fast=13, slow=56, signal=19 |
-4.8% | -78.8% | -0.21 | -0.06 | 0.3x | 367 | 52% |
| Buy and hold | 7.2% | -70.2% | 0.39 | 0.10 | 7.0x | 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 57-day average price crosses above the 121-day average
- Sell — Sell (to cash) when the 57-day average falls below the 121-day average