Trend-Following Backtester · Guide · backtest 한국어
equity · US
Navios Maritime Partners LP backtest
10 trend-following strategies were compared on the full daily history of Navios Maritime Partners LP. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.1%, MDD -23.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.1%, drawdown -98.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.3%, MDD -66.5%, Sharpe 0.59, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 32.2%p (CAGR 8.1%, MDD -23.8%, exposure 5%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=137, threshold=0.09 |
14.3% | -66.5% | 0.59 | 0.21 | 12.3x | 149 | 40% |
| ADX / DI 방향성 period=27, threshold=30 |
8.1% | -23.8% | 0.57 | 0.34 | 4.3x | 10 | 5% |
| EMA 크로스오버 fast=44, slow=97 |
13.0% | -62.1% | 0.55 | 0.21 | 10.0x | 29 | 50% |
| Donchian 채널 돌파 entryN=94, exitN=66 |
12.4% | -59.9% | 0.54 | 0.21 | 9.0x | 21 | 44% |
| 볼린저 밴드 돌파 n=57, k=3.3 |
9.1% | -42.5% | 0.53 | 0.21 | 5.1x | 16 | 12% |
| SMA 크로스오버 fast=14, slow=175 |
12.3% | -62.1% | 0.53 | 0.20 | 8.9x | 43 | 50% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=26, mult=4 |
7.4% | -47.1% | 0.46 | 0.16 | 3.8x | 27 | 14% |
| Supertrend period=8, mult=3 |
9.2% | -67.4% | 0.42 | 0.14 | 5.2x | 103 | 52% |
| Parabolic SAR step=0.01, maxStep=0.34 |
2.8% | -88.4% | 0.26 | 0.03 | 1.7x | 241 | 50% |
| MACD fast=19, slow=73, signal=18 |
2.3% | -93.3% | 0.26 | 0.03 | 1.5x | 179 | 52% |
| Buy and hold | -6.1% | -98.7% | 0.16 | -0.06 | 0.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 137-day return is greater than 9%
- Sell — Sell when the 137-day return drops to 9% or below