Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Hydro One Limited backtest
10 trend-following strategies were compared on the full daily history of Hydro One Limited. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 9.5%, drawdown -29.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.9%, MDD -28.3%, Sharpe 0.75, 68% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=40, slow=284 |
9.9% | -28.3% | 0.75 | 0.35 | 2.8x | 3 | 68% |
| ROC 모멘텀 Hold-like · Exposure 99% n=14, threshold=-0.09 |
9.4% | -29.1% | 0.71 | 0.32 | 2.6x | 7 | 99% |
| EMA 크로스오버 fast=56, slow=192 |
8.4% | -28.3% | 0.64 | 0.30 | 2.4x | 5 | 71% |
| Donchian 채널 돌파 entryN=25, exitN=99 |
6.4% | -28.3% | 0.50 | 0.23 | 1.9x | 17 | 85% |
| Supertrend period=10, mult=5 |
4.5% | -21.8% | 0.47 | 0.21 | 1.6x | 25 | 58% |
| 볼린저 밴드 돌파 n=11, k=2.6 |
0.9% | -7.9% | 0.30 | 0.11 | 1.1x | 14 | 4% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=23, mult=2.1 |
0.5% | -7.4% | 0.15 | 0.07 | 1.1x | 22 | 6% |
| MACD fast=13, slow=25, signal=14 |
0.0% | -31.1% | 0.05 | 0.00 | 1.0x | 162 | 50% |
| ADX / DI 방향성 period=34, threshold=28 |
-0.1% | -10.1% | -0.03 | -0.01 | 1.0x | 6 | 4% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-2.8% | -31.8% | -0.21 | -0.09 | 0.7x | 230 | 56% |
| Buy and hold | 9.5% | -29.1% | 0.65 | 0.33 | 2.6x | 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 40-day average price crosses above the 284-day average
- Sell — Sell (to cash) when the 40-day average falls below the 284-day average