Trend-Following Backtester · Guide · backtest 한국어
equity · US
NGL ENERGY PARTNERS LP backtest
10 trend-following strategies were compared on the full daily history of NGL ENERGY PARTNERS LP. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -36.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.7%, drawdown -97.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.8%, MDD -52.6%, Sharpe 0.75, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.4%p higher than buy and hold, while drawdown improves by 45.1%p (CAGR 5.3%, MDD -36.9%, exposure 3%).
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=20, slow=141 |
20.8% | -52.6% | 0.75 | 0.39 | 18.0x | 29 | 51% |
| EMA 크로스오버 fast=17, slow=108 |
19.6% | -57.0% | 0.73 | 0.34 | 15.5x | 31 | 52% |
| Supertrend period=11, mult=4.1 |
15.8% | -68.5% | 0.60 | 0.23 | 9.5x | 47 | 52% |
| 볼린저 밴드 돌파 n=24, k=2.4 |
12.3% | -61.9% | 0.55 | 0.20 | 5.9x | 86 | 26% |
| ROC 모멘텀 n=94, threshold=0.13 |
11.5% | -66.5% | 0.53 | 0.17 | 5.3x | 121 | 34% |
| MACD fast=14, slow=58, signal=11 |
15.3% | -81.6% | 0.53 | 0.19 | 8.8x | 199 | 48% |
| Donchian 채널 돌파 entryN=99, exitN=41 |
10.1% | -51.4% | 0.50 | 0.20 | 4.4x | 24 | 34% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=13, mult=1.6 |
9.4% | -60.0% | 0.45 | 0.16 | 3.9x | 112 | 27% |
| Parabolic SAR step=0.005, maxStep=0.34 |
9.7% | -68.0% | 0.43 | 0.14 | 4.1x | 119 | 50% |
| ADX / DI 방향성 period=27, threshold=32 |
5.3% | -36.9% | 0.42 | 0.14 | 2.2x | 10 | 3% |
| Buy and hold | -0.7% | -97.7% | 0.30 | -0.01 | 0.9x | 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 20-day average price crosses above the 141-day average
- Sell — Sell (to cash) when the 20-day average falls below the 141-day average