Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chesapeake Utilities Corporation backtest
10 trend-following strategies were compared on the full daily history of Chesapeake Utilities Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.9%, drawdown -40.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.5%, MDD -6.0%, Sharpe 0.74, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.2%, MDD -68.3%, exposure 82%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=3.3 |
2.5% | -6.0% | 0.74 | 0.41 | 3.1x | 22 | 6% |
| ADX / DI 방향성 period=33, threshold=28 |
3.3% | -25.0% | 0.49 | 0.13 | 4.5x | 16 | 12% |
| Donchian 채널 돌파 entryN=32, exitN=131 |
5.2% | -68.3% | 0.32 | 0.08 | 10.3x | 67 | 82% |
| SMA 크로스오버 fast=40, slow=195 |
4.3% | -42.1% | 0.29 | 0.10 | 6.9x | 66 | 66% |
| EMA 크로스오버 fast=51, slow=158 |
2.6% | -70.2% | 0.23 | 0.04 | 3.3x | 75 | 68% |
| Supertrend period=14, mult=4.5 |
2.0% | -58.5% | 0.21 | 0.03 | 2.5x | 135 | 63% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=8, mult=3.3 |
0.2% | -27.8% | 0.06 | 0.01 | 1.1x | 50 | 5% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-2.6% | -95.9% | 0.00 | -0.03 | 0.3x | 377 | 57% |
| ROC 모멘텀 n=98, threshold=0.33 |
-0.0% | -21.1% | 0.00 | -0.00 | 1.0x | 34 | 2% |
| MACD fast=37, slow=104, signal=37 |
-5.5% | -98.2% | -0.13 | -0.06 | 0.1x | 285 | 49% |
| Buy and hold | 9.9% | -40.6% | 0.45 | 0.25 | 81.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 15-day middle average