Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Algonquin Power & Utilities Corp. backtest
10 trend-following strategies were compared on the full daily history of Algonquin Power & Utilities Corp.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.3%, MDD -29.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.7%, drawdown -84.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -37.4%, Sharpe 0.34, 56% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 46.9%p (CAGR -0.3%, MDD -29.9%, exposure 14%).
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=43, slow=282 |
4.5% | -37.4% | 0.34 | 0.12 | 2.7x | 26 | 56% |
| EMA 크로스오버 fast=22, slow=222 |
4.0% | -37.4% | 0.31 | 0.11 | 2.5x | 28 | 55% |
| Donchian 채널 돌파 entryN=32, exitN=40 |
2.8% | -44.8% | 0.25 | 0.06 | 1.9x | 60 | 62% |
| Supertrend period=27, mult=5 |
1.3% | -56.7% | 0.16 | 0.02 | 1.4x | 60 | 59% |
| ROC 모멘텀 Hold-like · Exposure 98% n=15, threshold=-0.14 |
0.3% | -77.8% | 0.15 | 0.00 | 1.1x | 43 | 98% |
| MACD fast=22, slow=80, signal=38 |
-0.3% | -48.0% | 0.08 | -0.01 | 0.9x | 149 | 51% |
| 볼린저 밴드 돌파 n=45, k=3 |
-0.3% | -29.9% | 0.01 | -0.01 | 0.9x | 42 | 14% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=12, mult=2.3 |
-0.8% | -49.8% | 0.00 | -0.02 | 0.8x | 94 | 37% |
| ADX / DI 방향성 period=38, threshold=14 |
-2.8% | -52.8% | -0.21 | -0.05 | 0.5x | 126 | 26% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-6.2% | -79.7% | -0.28 | -0.08 | 0.2x | 187 | 54% |
| Buy and hold | -0.7% | -84.3% | 0.13 | -0.01 | 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 43-day average price crosses above the 282-day average
- Sell — Sell (to cash) when the 43-day average falls below the 282-day average