Trend-Following Backtester · Guide · backtest 한국어
equity · US
Hess Midstream LP backtest
10 trend-following strategies were compared on the full daily history of Hess Midstream LP. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.9%, MDD -34.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.1%, drawdown -76.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.9%, MDD -2.7%, Sharpe 0.61, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.9%, MDD -34.6%, exposure 91%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 73.5%p (CAGR 11.9%, MDD -34.6%, exposure 91%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=24 |
1.9% | -2.7% | 0.61 | 0.71 | 1.2x | 2 | 0% |
| Donchian 채널 돌파 entryN=7, exitN=80 |
11.9% | -34.6% | 0.53 | 0.34 | 2.9x | 21 | 91% |
| Parabolic SAR step=0.015, maxStep=0.1 |
7.2% | -38.0% | 0.40 | 0.19 | 1.9x | 156 | 52% |
| MACD fast=11, slow=31, signal=9 |
6.5% | -42.6% | 0.38 | 0.15 | 1.8x | 165 | 50% |
| Supertrend period=25, mult=2 |
2.6% | -40.1% | 0.22 | 0.06 | 1.3x | 107 | 56% |
| SMA 크로스오버 fast=36, slow=59 |
2.0% | -31.7% | 0.20 | 0.06 | 1.2x | 50 | 57% |
| ROC 모멘텀 n=4, threshold=0.13 |
0.7% | -15.9% | 0.15 | 0.05 | 1.1x | 20 | 1% |
| EMA 크로스오버 fast=27, slow=194 |
0.3% | -38.9% | 0.12 | 0.01 | 1.0x | 19 | 61% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
0.2% | -11.5% | 0.08 | 0.02 | 1.0x | 4 | 2% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=11, mult=2.6 |
-0.1% | -14.6% | -0.01 | -0.01 | 1.0x | 6 | 2% |
| Buy and hold | 5.1% | -76.2% | 0.33 | 0.07 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)