Trend-Following Backtester · Guide · backtest 한국어
equity · US
Natural Resource Partners LP Limited Partnership backtest
10 trend-following strategies were compared on the full daily history of Natural Resource Partners LP Limited Partnership. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.7%, MDD -34.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 0.0%, drawdown -98.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.2%, MDD -37.9%, Sharpe 0.59, 35% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.8%, MDD -41.3%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.2%p higher than buy and hold, while drawdown improves by 60.4%p (CAGR 10.7%, MDD -34.1%, exposure 40%).
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=99, k=1.7 |
12.2% | -37.9% | 0.59 | 0.32 | 15.5x | 50 | 35% |
| SMA 크로스오버 fast=26, slow=129 |
12.8% | -41.3% | 0.57 | 0.31 | 17.7x | 46 | 53% |
| EMA 크로스오버 fast=43, slow=51 |
12.2% | -66.9% | 0.55 | 0.18 | 15.6x | 60 | 54% |
| Donchian 채널 돌파 entryN=80, exitN=52 |
11.2% | -49.4% | 0.54 | 0.23 | 12.6x | 38 | 45% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=33, mult=1.8 |
10.7% | -34.1% | 0.54 | 0.31 | 11.3x | 100 | 40% |
| ROC 모멘텀 n=74, threshold=0.06 |
10.0% | -41.0% | 0.50 | 0.24 | 9.7x | 236 | 41% |
| Supertrend period=19, mult=4.8 |
8.5% | -80.3% | 0.43 | 0.11 | 7.0x | 68 | 54% |
| ADX / DI 방향성 period=31, threshold=20 |
6.3% | -50.3% | 0.42 | 0.13 | 4.3x | 66 | 18% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.7% | -95.0% | 0.13 | -0.01 | 0.9x | 186 | 52% |
| MACD fast=17, slow=120, signal=15 |
-5.8% | -98.0% | -0.02 | -0.06 | 0.2x | 243 | 52% |
| Buy and hold | 0.0% | -98.3% | 0.22 | 0.00 | 1.0x | 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 99-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 99-day middle average