Trend-Following Backtester · Guide · backtest 한국어
equity · US
California Water Service Group backtest
10 trend-following strategies were compared on the full daily history of California Water Service Group. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -41.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -27.0%, Sharpe 0.26, 25% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=44, threshold=26 |
2.2% | -27.0% | 0.26 | 0.08 | 3.2x | 20 | 25% |
| ROC 모멘텀 Hold-like · Exposure 95% n=89, threshold=-0.14 |
1.7% | -76.6% | 0.19 | 0.02 | 2.4x | 177 | 95% |
| Donchian 채널 돌파 entryN=118, exitN=160 |
1.6% | -62.8% | 0.18 | 0.03 | 2.4x | 39 | 63% |
| 볼린저 밴드 돌파 n=15, k=3.5 |
0.1% | -10.4% | 0.08 | 0.01 | 1.1x | 32 | 2% |
| EMA 크로스오버 fast=69, slow=215 |
-0.7% | -87.4% | 0.08 | -0.01 | 0.7x | 85 | 64% |
| SMA 크로스오버 fast=54, slow=187 |
-0.9% | -84.8% | 0.06 | -0.01 | 0.6x | 109 | 60% |
| Supertrend period=12, mult=3.6 |
-2.7% | -92.0% | -0.04 | -0.03 | 0.2x | 231 | 59% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.8% | -97.2% | -0.15 | -0.05 | 0.1x | 435 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=12, mult=2.9 |
-2.8% | -85.5% | -0.22 | -0.03 | 0.2x | 135 | 16% |
| MACD fast=20, slow=53, signal=18 |
-6.7% | -98.8% | -0.27 | -0.07 | 0.0x | 609 | 50% |
| Buy and hold | 6.5% | -41.7% | 0.37 | 0.16 | 28.6x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 44-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)