Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clearway Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Clearway Energy, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.5%, MDD -34.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 1.5%, drawdown -59.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.5%, MDD -34.4%, Sharpe 0.39, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 6.5%, MDD -34.4%, exposure 55%).
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=24, slow=87 |
6.5% | -34.4% | 0.39 | 0.19 | 2.1x | 28 | 55% |
| Donchian 채널 돌파 entryN=41, exitN=56 |
5.1% | -41.7% | 0.34 | 0.12 | 1.8x | 22 | 60% |
| EMA 크로스오버 fast=48, slow=149 |
2.6% | -42.1% | 0.23 | 0.06 | 1.3x | 18 | 60% |
| Supertrend period=25, mult=3.1 |
1.2% | -37.5% | 0.16 | 0.03 | 1.1x | 68 | 53% |
| ROC 모멘텀 n=95, threshold=-0.04 |
-0.9% | -59.1% | 0.09 | -0.02 | 0.9x | 104 | 66% |
| 볼린저 밴드 돌파 n=24, k=1.9 |
0.2% | -41.1% | 0.09 | 0.00 | 1.0x | 88 | 32% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=1.3 |
-1.7% | -39.7% | -0.00 | -0.04 | 0.8x | 76 | 42% |
| MACD fast=10, slow=56, signal=18 |
-3.2% | -63.4% | -0.04 | -0.05 | 0.7x | 146 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-4.2% | -62.8% | -0.09 | -0.07 | 0.6x | 146 | 53% |
| ADX / DI 방향성 period=39, threshold=12 |
-3.1% | -38.3% | -0.14 | -0.08 | 0.7x | 68 | 28% |
| Buy and hold | 1.5% | -59.8% | 0.22 | 0.03 | 1.2x | 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 24-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 24-day average falls below the 87-day average