Trend-Following Backtester · Guide · backtest 한국어
equity · US
MGE Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of MGE Energy Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -38.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 4.9%, MDD -49.9%, Sharpe 0.32, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=24, threshold=-0.12 |
4.9% | -49.9% | 0.32 | 0.10 | 9.3x | 65 | 99% |
| SMA 크로스오버 fast=35, slow=205 |
2.4% | -57.3% | 0.22 | 0.04 | 3.0x | 73 | 63% |
| Supertrend period=5, mult=4.9 |
2.2% | -48.2% | 0.21 | 0.05 | 2.8x | 93 | 59% |
| EMA 크로스오버 fast=51, slow=193 |
2.3% | -49.7% | 0.21 | 0.05 | 2.8x | 62 | 67% |
| ADX / DI 방향성 period=42, threshold=45 |
0.8% | -13.8% | 0.19 | 0.06 | 1.4x | 14 | 5% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=5, mult=3.8 |
0.5% | -11.4% | 0.19 | 0.04 | 1.2x | 10 | 2% |
| Donchian 채널 돌파 entryN=43, exitN=78 |
1.0% | -54.3% | 0.15 | 0.02 | 1.6x | 91 | 69% |
| 볼린저 밴드 돌파 n=59, k=3.3 |
-1.6% | -71.0% | -0.16 | -0.02 | 0.5x | 52 | 11% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-8.3% | -99.4% | -0.42 | -0.08 | 0.0x | 770 | 53% |
| MACD fast=18, slow=39, signal=19 |
-10.9% | -99.6% | -0.62 | -0.11 | 0.0x | 626 | 48% |
| Buy and hold | 6.9% | -38.2% | 0.39 | 0.18 | 22.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 24-day return is greater than -12%
- Sell — Sell when the 24-day return drops to -12% or below