Trend-Following Backtester · Guide · backtest 한국어
equity · US
Suburban Propane Partners, L.P. backtest
10 trend-following strategies were compared on the full daily history of Suburban Propane Partners, L.P.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -9.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR -0.3%, drawdown -82.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.5%, MDD -36.5%, Sharpe 0.18, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 0.2%, MDD -9.0%, exposure 1%).
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=69, slow=87 |
1.5% | -36.5% | 0.18 | 0.04 | 1.6x | 142 | 51% |
| ADX / DI 방향성 period=46, threshold=23 |
0.2% | -9.0% | 0.11 | 0.03 | 1.1x | 4 | 1% |
| EMA 크로스오버 fast=58, slow=267 |
-0.4% | -57.7% | 0.05 | -0.01 | 0.9x | 38 | 49% |
| Donchian 채널 돌파 entryN=67, exitN=73 |
-1.7% | -56.7% | -0.02 | -0.03 | 0.6x | 48 | 55% |
| 볼린저 밴드 돌파 n=25, k=3.2 |
-0.3% | -17.1% | -0.03 | -0.02 | 0.9x | 24 | 3% |
| ROC 모멘텀 n=13, threshold=0.11 |
-0.6% | -31.9% | -0.08 | -0.02 | 0.8x | 114 | 2% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=18, mult=3.4 |
-0.3% | -17.3% | -0.10 | -0.02 | 0.9x | 8 | 1% |
| Supertrend period=5, mult=4.7 |
-2.7% | -60.6% | -0.12 | -0.04 | 0.4x | 84 | 43% |
| MACD fast=20, slow=54, signal=23 |
-6.2% | -87.0% | -0.30 | -0.07 | 0.1x | 291 | 51% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-7.1% | -89.8% | -0.34 | -0.08 | 0.1x | 243 | 53% |
| Buy and hold | -0.3% | -82.2% | 0.12 | -0.00 | 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 69-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 69-day average falls below the 87-day average