Trend-Following Backtester · Guide · backtest 한국어
equity · US
Atmos Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of Atmos Energy Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.3%, drawdown -54.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.4%, MDD -54.9%, Sharpe 0.47, 100% 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 100% n=1, threshold=-0.11 |
8.4% | -54.9% | 0.47 | 0.15 | 31.8x | 9 | 100% |
| EMA 크로스오버 fast=62, slow=238 |
5.0% | -47.6% | 0.36 | 0.10 | 8.0x | 35 | 74% |
| SMA 크로스오버 fast=55, slow=201 |
4.2% | -43.1% | 0.33 | 0.10 | 5.8x | 62 | 64% |
| Donchian 채널 돌파 entryN=97, exitN=125 |
3.4% | -50.2% | 0.28 | 0.07 | 4.2x | 43 | 69% |
| 볼린저 밴드 돌파 n=12, k=3.1 |
0.6% | -5.7% | 0.24 | 0.10 | 1.3x | 6 | 1% |
| ADX / DI 방향성 period=29, threshold=41 |
0.1% | -2.8% | 0.14 | 0.04 | 1.0x | 2 | 0% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=18, mult=3.5 |
0.1% | -11.5% | 0.07 | 0.01 | 1.1x | 4 | 0% |
| Supertrend period=10, mult=5 |
-1.1% | -74.4% | 0.01 | -0.01 | 0.6x | 136 | 56% |
| MACD fast=40, slow=59, signal=39 |
-4.7% | -91.8% | -0.23 | -0.05 | 0.1x | 286 | 52% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-7.8% | -97.8% | -0.45 | -0.08 | 0.0x | 788 | 53% |
| Buy and hold | 8.3% | -54.9% | 0.46 | 0.15 | 29.6x | 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 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below