Trend-Following Backtester · Guide · backtest 한국어
equity · US
Evergy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Evergy, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.6%, MDD -39.2%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.5%, drawdown -80.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.8%, MDD -39.2%, Sharpe 0.39, 60% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 41.4%p (CAGR 4.6%, MDD -39.2%, exposure 61%).
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=55, slow=207 |
4.8% | -39.2% | 0.39 | 0.12 | 12.1x | 65 | 60% |
| EMA 크로스오버 fast=78, slow=165 |
4.6% | -39.2% | 0.38 | 0.12 | 10.9x | 49 | 61% |
| Donchian 채널 돌파 entryN=114, exitN=133 |
4.1% | -45.4% | 0.35 | 0.09 | 8.6x | 43 | 62% |
| ROC 모멘텀 n=142, threshold=-0.02 |
1.5% | -55.5% | 0.17 | 0.03 | 2.2x | 381 | 65% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=25, mult=3.9 |
1.1% | -43.7% | 0.17 | 0.03 | 1.8x | 118 | 29% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
0.2% | -18.5% | 0.09 | 0.01 | 1.1x | 18 | 2% |
| ADX / DI 방향성 period=39, threshold=15 |
-0.4% | -43.3% | -0.01 | -0.01 | 0.8x | 198 | 23% |
| Supertrend period=13, mult=4.7 |
-1.2% | -76.7% | -0.02 | -0.02 | 0.5x | 191 | 55% |
| MACD fast=34, slow=51, signal=31 |
-4.3% | -90.9% | -0.20 | -0.05 | 0.1x | 388 | 53% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.8% | -96.5% | -0.32 | -0.06 | 0.0x | 450 | 54% |
| Buy and hold | 3.5% | -80.6% | 0.27 | 0.04 | 6.3x | 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 55-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 55-day average falls below the 207-day average