Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xcel Energy Inc. backtest
10 trend-following strategies were compared on the full daily history of Xcel Energy 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 3.7%, MDD -39.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.5%, drawdown -82.1%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 3.7%, MDD -39.6%, Sharpe 0.32, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 42.5%p (CAGR 3.7%, MDD -39.6%, exposure 67%).
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=76, slow=212 |
3.7% | -39.6% | 0.32 | 0.09 | 6.8x | 53 | 67% |
| SMA 크로스오버 fast=53, slow=195 |
3.3% | -48.0% | 0.30 | 0.07 | 5.7x | 73 | 62% |
| Donchian 채널 돌파 entryN=13, exitN=76 |
1.4% | -73.3% | 0.17 | 0.02 | 2.1x | 157 | 86% |
| Supertrend period=28, mult=3.9 |
0.3% | -61.6% | 0.09 | 0.00 | 1.2x | 250 | 58% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
0.0% | -2.1% | 0.08 | 0.02 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=102, threshold=-0.04 |
-0.7% | -81.9% | 0.04 | -0.01 | 0.7x | 434 | 75% |
| MACD fast=23, slow=35, signal=23 |
-0.8% | -73.8% | 0.02 | -0.01 | 0.7x | 524 | 52% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=24, mult=3.5 |
-0.1% | -38.7% | 0.01 | -0.00 | 1.0x | 74 | 7% |
| ADX / DI 방향성 period=39, threshold=26 |
-0.2% | -25.1% | -0.05 | -0.01 | 0.9x | 26 | 4% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.2% | -80.1% | -0.08 | -0.03 | 0.3x | 445 | 55% |
| Buy and hold | 4.5% | -82.1% | 0.31 | 0.06 | 10.7x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 76-day EMA crosses above the 212-day EMA
- Sell — Sell when the 76-day EMA falls below the 212-day EMA