Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ameren Corporation backtest
10 trend-following strategies were compared on the full daily history of Ameren Corporation. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.2%, drawdown -64.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.6%, MDD -38.5%, Sharpe 0.19, 63% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=102, exitN=103 |
1.6% | -38.5% | 0.19 | 0.04 | 1.6x | 31 | 63% |
| ADX / DI 방향성 period=25, threshold=39 |
0.1% | -1.1% | 0.15 | 0.06 | 1.0x | 2 | 0% |
| EMA 크로스오버 fast=59, slow=204 |
0.5% | -54.0% | 0.11 | 0.01 | 1.1x | 39 | 64% |
| SMA 크로스오버 fast=25, slow=219 |
-0.6% | -59.9% | 0.03 | -0.01 | 0.8x | 55 | 63% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=21, mult=2.5 |
-0.3% | -30.6% | -0.03 | -0.01 | 0.9x | 60 | 9% |
| MACD fast=18, slow=28, signal=18 |
-1.6% | -58.2% | -0.05 | -0.03 | 0.6x | 344 | 52% |
| 볼린저 밴드 돌파 n=20, k=3.4 |
-0.1% | -4.5% | -0.08 | -0.02 | 1.0x | 4 | 0% |
| Supertrend period=18, mult=3.4 |
-3.4% | -69.6% | -0.16 | -0.05 | 0.4x | 168 | 57% |
| ROC 모멘텀 n=99, threshold=-0.03 |
-4.8% | -83.3% | -0.24 | -0.06 | 0.2x | 298 | 71% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-5.1% | -78.9% | -0.28 | -0.06 | 0.2x | 270 | 56% |
| Buy and hold | 3.2% | -64.9% | 0.25 | 0.05 | 2.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 102 days
- Sell — Sell when price breaks below the lowest low of the last 103 days