Trend-Following Backtester · Guide · backtest 한국어
equity · US
Exelon Corporation backtest
10 trend-following strategies were compared on the full daily history of Exelon Corporation. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.5%, MDD -53.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 3.3%, drawdown -72.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -53.3%, Sharpe 0.35, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 4.5%, MDD -53.3%, exposure 59%).
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=51, slow=209 |
4.5% | -53.3% | 0.35 | 0.08 | 10.2x | 58 | 59% |
| 볼린저 밴드 돌파 n=15, k=3.3 |
0.9% | -9.0% | 0.34 | 0.10 | 1.6x | 10 | 1% |
| EMA 크로스오버 fast=92, slow=103 |
4.2% | -54.2% | 0.34 | 0.08 | 9.0x | 57 | 58% |
| Donchian 채널 돌파 entryN=40, exitN=62 |
2.4% | -67.8% | 0.23 | 0.04 | 3.5x | 123 | 64% |
| ROC 모멘텀 n=137, threshold=-0.03 |
2.2% | -73.3% | 0.21 | 0.03 | 3.1x | 361 | 65% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=15, mult=4 |
0.8% | -39.8% | 0.17 | 0.02 | 1.5x | 42 | 6% |
| Supertrend period=13, mult=3.8 |
1.1% | -62.1% | 0.15 | 0.02 | 1.8x | 225 | 55% |
| ADX / DI 방향성 period=34, threshold=24 |
0.0% | -23.9% | 0.04 | 0.00 | 1.0x | 66 | 7% |
| MACD fast=22, slow=37, signal=15 |
-1.6% | -80.2% | -0.01 | -0.02 | 0.4x | 610 | 52% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-2.6% | -81.7% | -0.08 | -0.03 | 0.3x | 446 | 53% |
| Buy and hold | 3.3% | -72.2% | 0.26 | 0.05 | 5.7x | 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 51-day average price crosses above the 209-day average
- Sell — Sell (to cash) when the 51-day average falls below the 209-day average