Trend-Following Backtester · Guide · backtest 한국어
equity · US
USA Compression Partners, LP backtest
10 trend-following strategies were compared on the full daily history of USA Compression Partners, LP. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.7%, MDD -35.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 2.9%, drawdown -86.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -52.5%, Sharpe 0.35, 78% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 34.3%p (CAGR 3.7%, MDD -35.0%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=28, exitN=78 |
6.0% | -52.5% | 0.35 | 0.11 | 2.2x | 24 | 78% |
| SMA 크로스오버 fast=48, slow=176 |
3.7% | -35.0% | 0.27 | 0.11 | 1.6x | 23 | 56% |
| EMA 크로스오버 fast=72, slow=98 |
2.7% | -35.0% | 0.23 | 0.08 | 1.4x | 21 | 58% |
| 볼린저 밴드 돌파 n=44, k=3.3 |
0.9% | -10.7% | 0.18 | 0.09 | 1.1x | 6 | 4% |
| ADX / DI 방향성 period=18, threshold=39 |
0.3% | -6.1% | 0.17 | 0.04 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=14, mult=1.6 |
0.1% | -51.9% | 0.10 | 0.00 | 1.0x | 90 | 31% |
| ROC 모멘텀 n=4, threshold=0.14 |
0.0% | -39.0% | 0.06 | 0.00 | 1.0x | 38 | 1% |
| Supertrend period=21, mult=2.4 |
-3.1% | -65.2% | 0.01 | -0.05 | 0.6x | 116 | 53% |
| MACD fast=15, slow=47, signal=9 |
-3.9% | -64.9% | -0.01 | -0.06 | 0.6x | 220 | 51% |
| Parabolic SAR step=0.02, maxStep=0.36 |
-4.5% | -61.7% | -0.03 | -0.07 | 0.5x | 288 | 54% |
| Buy and hold | 2.9% | -86.8% | 0.29 | 0.03 | 1.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 28 days
- Sell — Sell when price breaks below the lowest low of the last 78 days