Trend-Following Backtester · Guide · backtest 한국어
equity · US
CMS Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of CMS Energy Corporation. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.4%, MDD -36.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 1.7%, drawdown -93.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -41.6%, Sharpe 0.53, 61% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 51.4%p (CAGR 2.4%, MDD -36.7%, exposure 24%).
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=61, slow=245 |
7.9% | -41.6% | 0.53 | 0.19 | 58.6x | 51 | 61% |
| EMA 크로스오버 fast=78, slow=173 |
6.8% | -46.2% | 0.47 | 0.15 | 34.1x | 45 | 63% |
| Donchian 채널 돌파 entryN=98, exitN=61 |
4.8% | -47.8% | 0.38 | 0.10 | 12.3x | 78 | 50% |
| ROC 모멘텀 n=105, threshold=-0.02 |
4.0% | -61.6% | 0.31 | 0.06 | 8.0x | 404 | 65% |
| Supertrend period=19, mult=4.8 |
3.2% | -51.6% | 0.27 | 0.06 | 5.5x | 163 | 59% |
| 볼린저 밴드 돌파 n=57, k=2.7 |
2.4% | -36.7% | 0.26 | 0.07 | 3.6x | 116 | 24% |
| Keltner 채널 돌파 emaPeriod=78, atrPeriod=15, mult=1.2 |
1.7% | -57.2% | 0.19 | 0.03 | 2.5x | 330 | 51% |
| ADX / DI 방향성 period=33, threshold=22 |
0.7% | -52.6% | 0.12 | 0.01 | 1.4x | 108 | 14% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.9% | -74.4% | 0.04 | -0.01 | 0.6x | 442 | 54% |
| MACD fast=21, slow=61, signal=15 |
-1.5% | -89.3% | 0.01 | -0.02 | 0.4x | 564 | 51% |
| Buy and hold | 1.7% | -93.0% | 0.20 | 0.02 | 2.4x | 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 61-day average price crosses above the 245-day average
- Sell — Sell (to cash) when the 61-day average falls below the 245-day average