Trend-Following Backtester · Guide · backtest 한국어
equity · US
Western Midstream Partners, LP backtest
10 trend-following strategies were compared on the full daily history of Western Midstream Partners, LP. 6 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.3%, MDD -21.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.8%, drawdown -95.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 10.8%, MDD -24.5%, Sharpe 0.56, 59% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.9%p higher than buy and hold, while drawdown improves by 70.9%p (CAGR 5.3%, MDD -21.9%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=59, slow=209 |
10.8% | -24.5% | 0.56 | 0.44 | 4.0x | 11 | 59% |
| SMA 크로스오버 fast=51, slow=215 |
10.5% | -31.4% | 0.55 | 0.33 | 3.9x | 13 | 56% |
| ADX / DI 방향성 period=37, threshold=22 |
3.5% | -13.5% | 0.49 | 0.26 | 1.6x | 12 | 10% |
| 볼린저 밴드 돌파 n=64, k=3.3 |
5.3% | -21.9% | 0.45 | 0.24 | 2.0x | 12 | 13% |
| Donchian 채널 돌파 entryN=81, exitN=76 |
8.1% | -46.8% | 0.44 | 0.17 | 2.9x | 17 | 60% |
| ROC 모멘텀 n=127, threshold=0.23 |
4.7% | -39.5% | 0.36 | 0.12 | 1.9x | 68 | 18% |
| Supertrend period=10, mult=2.9 |
4.1% | -55.8% | 0.28 | 0.07 | 1.7x | 85 | 52% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=29, mult=3.8 |
1.4% | -11.0% | 0.25 | 0.12 | 1.2x | 6 | 2% |
| MACD fast=6, slow=51, signal=11 |
2.8% | -65.8% | 0.24 | 0.04 | 1.5x | 285 | 49% |
| Parabolic SAR step=0.03, maxStep=0.26 |
0.1% | -74.7% | 0.13 | 0.00 | 1.0x | 382 | 51% |
| Buy and hold | 3.8% | -95.3% | 0.32 | 0.04 | 1.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 209-day EMA
- Sell — Sell when the 59-day EMA falls below the 209-day EMA