Trend-Following Backtester · Guide · backtest 한국어
equity · US
XPLR Infrastructure, LP backtest
10 trend-following strategies were compared on the full daily history of XPLR Infrastructure, LP. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.1%, MDD -3.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.9%, drawdown -90.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.3%, MDD -18.4%, Sharpe 0.30, 8% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 72.5%p (CAGR -0.1%, MDD -3.2%, exposure 0%).
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=55, k=3.5 |
2.3% | -18.4% | 0.30 | 0.12 | 1.3x | 6 | 8% |
| SMA 크로스오버 fast=45, slow=124 |
1.6% | -47.5% | 0.19 | 0.03 | 1.2x | 25 | 54% |
| Donchian 채널 돌파 entryN=23, exitN=63 |
1.4% | -69.1% | 0.19 | 0.02 | 1.2x | 27 | 74% |
| Supertrend period=25, mult=4.5 |
1.2% | -56.8% | 0.17 | 0.02 | 1.2x | 35 | 60% |
| EMA 크로스오버 fast=20, slow=117 |
-0.8% | -58.4% | 0.07 | -0.01 | 0.9x | 33 | 52% |
| Parabolic SAR step=0.03, maxStep=0.24 |
-1.5% | -45.5% | 0.06 | -0.03 | 0.8x | 326 | 51% |
| ROC 모멘텀 n=133, threshold=0.05 |
-1.3% | -46.1% | 0.03 | -0.03 | 0.9x | 99 | 46% |
| ADX / DI 방향성 period=36, threshold=27 |
-0.1% | -3.2% | -0.04 | -0.02 | 1.0x | 2 | 0% |
| MACD fast=9, slow=29, signal=12 |
-4.3% | -62.4% | -0.05 | -0.07 | 0.6x | 212 | 49% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=18, mult=3.5 |
-3.2% | -49.4% | -0.27 | -0.06 | 0.7x | 24 | 15% |
| Buy and hold | -7.9% | -90.9% | 0.01 | -0.09 | 0.4x | 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 55-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 55-day middle average