Trend-Following Backtester · Guide · backtest 한국어
equity · US
DTE Energy Company backtest
10 trend-following strategies were compared on the full daily history of DTE Energy Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.4%, MDD -40.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -67.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.4%, MDD -40.9%, Sharpe 0.31, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 27.1%p (CAGR 3.4%, MDD -40.9%, exposure 60%).
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=72, slow=201 |
3.4% | -40.9% | 0.31 | 0.08 | 6.7x | 75 | 60% |
| Donchian 채널 돌파 entryN=96, exitN=64 |
2.9% | -42.3% | 0.29 | 0.07 | 5.1x | 81 | 52% |
| EMA 크로스오버 fast=50, slow=219 |
2.9% | -38.5% | 0.27 | 0.08 | 5.0x | 59 | 63% |
| ROC 모멘텀 n=140, threshold=-0.03 |
-0.1% | -68.3% | 0.07 | -0.00 | 0.9x | 419 | 68% |
| Supertrend period=15, mult=5 |
-0.3% | -59.8% | 0.05 | -0.00 | 0.8x | 163 | 57% |
| 볼린저 밴드 돌파 n=39, k=3.4 |
-0.1% | -38.2% | 0.01 | -0.00 | 1.0x | 44 | 6% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=18, mult=3.9 |
-0.1% | -23.8% | -0.03 | -0.00 | 0.9x | 8 | 0% |
| ADX / DI 방향성 period=32, threshold=38 |
-0.3% | -17.9% | -0.10 | -0.01 | 0.9x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.5% | -90.4% | -0.17 | -0.04 | 0.1x | 464 | 52% |
| MACD fast=23, slow=28, signal=22 |
-5.6% | -97.8% | -0.33 | -0.06 | 0.0x | 674 | 51% |
| Buy and hold | 3.6% | -67.9% | 0.27 | 0.05 | 7.5x | 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 72-day average price crosses above the 201-day average
- Sell — Sell (to cash) when the 72-day average falls below the 201-day average