Trend-Following Backtester · Guide · backtest 한국어
equity · US
American States Water Company backtest
10 trend-following strategies were compared on the full daily history of American States Water Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -40.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -54.1%, Sharpe 0.29, 67% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=77, slow=333 |
4.0% | -54.1% | 0.29 | 0.07 | 8.3x | 51 | 67% |
| Donchian 채널 돌파 entryN=15, exitN=77 |
2.4% | -55.5% | 0.22 | 0.04 | 3.6x | 115 | 74% |
| ADX / DI 방향성 period=39, threshold=31 |
0.9% | -31.0% | 0.16 | 0.03 | 1.6x | 32 | 20% |
| ROC 모멘텀 n=180, threshold=-0.09 |
1.0% | -74.0% | 0.16 | 0.01 | 1.7x | 337 | 85% |
| 볼린저 밴드 돌파 n=31, k=3.2 |
0.7% | -27.5% | 0.14 | 0.03 | 1.5x | 71 | 8% |
| EMA 크로스오버 fast=59, slow=206 |
0.6% | -79.1% | 0.13 | 0.01 | 1.3x | 77 | 66% |
| Supertrend period=15, mult=4.9 |
-1.0% | -88.7% | 0.04 | -0.01 | 0.6x | 139 | 59% |
| MACD fast=33, slow=48, signal=32 |
-3.3% | -91.1% | -0.10 | -0.04 | 0.2x | 403 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.6% | -92.8% | -0.11 | -0.04 | 0.1x | 425 | 55% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=14, mult=4 |
-1.6% | -74.3% | -0.16 | -0.02 | 0.4x | 75 | 11% |
| Buy and hold | 6.9% | -40.3% | 0.39 | 0.17 | 36.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 77-day average price crosses above the 333-day average
- Sell — Sell (to cash) when the 77-day average falls below the 333-day average