Trend-Following Backtester · Guide · backtest 한국어
equity · US
DT Midstream, Inc. backtest
10 trend-following strategies were compared on the full daily history of DT Midstream, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 26.2%, drawdown -25.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 22.1%, MDD -23.6%, Sharpe 1.02, 74% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 22.3%, MDD -23.6%, exposure 78%.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=183 |
22.1% | -23.6% | 1.02 | 0.94 | 2.8x | 5 | 74% |
| EMA 크로스오버 fast=59, slow=150 |
22.3% | -23.6% | 1.00 | 0.95 | 2.8x | 3 | 78% |
| ROC 모멘텀 n=127, threshold=-0.06 |
20.8% | -23.6% | 0.94 | 0.88 | 2.6x | 13 | 82% |
| Donchian 채널 돌파 entryN=16, exitN=69 |
20.0% | -31.0% | 0.89 | 0.64 | 2.5x | 9 | 89% |
| Supertrend period=21, mult=4.7 |
15.9% | -28.8% | 0.84 | 0.55 | 2.1x | 13 | 71% |
| ADX / DI 방향성 period=18, threshold=29 |
5.1% | -10.9% | 0.68 | 0.47 | 1.3x | 12 | 13% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=1.1 |
7.3% | -32.1% | 0.47 | 0.23 | 1.4x | 36 | 60% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
5.9% | -23.3% | 0.45 | 0.25 | 1.3x | 18 | 42% |
| MACD fast=17, slow=58, signal=9 |
-0.3% | -28.0% | 0.07 | -0.01 | 1.0x | 72 | 48% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-3.8% | -46.3% | -0.11 | -0.08 | 0.8x | 170 | 57% |
| Buy and hold | 26.2% | -25.1% | 1.04 | 1.05 | 3.3x | 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 49-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 49-day average falls below the 183-day average