Trend-Following Backtester · Guide · backtest 한국어
equity · US
Peabody Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of Peabody Energy Corporation. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 21.0%, MDD -55.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.5%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.5%, MDD -55.9%, Sharpe 0.77, 47% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 32.1%p higher than buy and hold, while drawdown improves by 42.4%p (CAGR 21.0%, MDD -55.1%, exposure 47%).
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=38, slow=42 |
31.5% | -55.9% | 0.77 | 0.56 | 13.2x | 101 | 47% |
| EMA 크로스오버 fast=25, slow=76 |
25.8% | -59.6% | 0.70 | 0.43 | 8.7x | 21 | 46% |
| ROC 모멘텀 n=135, threshold=0 |
21.0% | -55.1% | 0.62 | 0.38 | 6.0x | 58 | 47% |
| ADX / DI 방향성 period=39, threshold=14 |
18.2% | -55.6% | 0.59 | 0.33 | 4.8x | 32 | 29% |
| 볼린저 밴드 돌파 n=46, k=1.2 |
18.5% | -66.3% | 0.58 | 0.28 | 5.0x | 57 | 37% |
| Donchian 채널 돌파 entryN=26, exitN=41 |
17.4% | -80.2% | 0.56 | 0.22 | 4.5x | 29 | 59% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=13, mult=1.1 |
16.1% | -67.3% | 0.54 | 0.24 | 4.1x | 87 | 35% |
| Supertrend period=15, mult=3.4 |
15.2% | -74.8% | 0.52 | 0.20 | 3.8x | 45 | 43% |
| Parabolic SAR step=0.035, maxStep=0.26 |
1.6% | -75.2% | 0.31 | 0.02 | 1.2x | 295 | 49% |
| MACD fast=16, slow=48, signal=11 |
-0.2% | -85.8% | 0.29 | -0.00 | 1.0x | 123 | 51% |
| Buy and hold | -0.5% | -98.2% | 0.37 | -0.01 | 1.0x | 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 38-day average price crosses above the 42-day average
- Sell — Sell (to cash) when the 38-day average falls below the 42-day average