Trend-Following Backtester · Guide · backtest 한국어
equity · US
Itron, Inc. backtest
10 trend-following strategies were compared on the full daily history of Itron, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 5.6%, MDD -74.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.9%, drawdown -94.4%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.6%, MDD -74.1%, Sharpe 0.33, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 20.3%p (CAGR 5.6%, MDD -74.1%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=73, slow=181 |
5.6% | -74.1% | 0.33 | 0.08 | 6.0x | 40 | 52% |
| Donchian 채널 돌파 entryN=6, exitN=70 |
3.3% | -92.9% | 0.31 | 0.04 | 2.9x | 127 | 88% |
| SMA 크로스오버 fast=35, slow=218 |
3.3% | -86.6% | 0.27 | 0.04 | 2.9x | 58 | 53% |
| Supertrend period=8, mult=4.3 |
0.7% | -82.6% | 0.20 | 0.01 | 1.2x | 129 | 53% |
| ADX / DI 방향성 period=38, threshold=28 |
1.1% | -27.0% | 0.18 | 0.04 | 1.4x | 8 | 2% |
| ROC 모멘텀 n=138, threshold=0.06 |
0.3% | -81.7% | 0.16 | 0.00 | 1.1x | 320 | 45% |
| 볼린저 밴드 돌파 n=34, k=1.7 |
-1.3% | -88.1% | 0.10 | -0.01 | 0.6x | 227 | 37% |
| MACD fast=13, slow=59, signal=15 |
-3.3% | -91.2% | 0.09 | -0.04 | 0.3x | 409 | 52% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=28, mult=1.8 |
-3.2% | -86.1% | 0.03 | -0.04 | 0.3x | 211 | 36% |
| Parabolic SAR step=0.01, maxStep=0.16 |
-5.6% | -89.9% | 0.02 | -0.06 | 0.2x | 407 | 51% |
| Buy and hold | 5.9% | -94.4% | 0.37 | 0.06 | 6.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 73-day EMA crosses above the 181-day EMA
- Sell — Sell when the 73-day EMA falls below the 181-day EMA