Trend-Following Backtester · Guide · backtest 한국어
equity · US
Edison International backtest
10 trend-following strategies were compared on the full daily history of Edison International. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 4.7%, drawdown -74.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.4%, MDD -62.5%, Sharpe 0.34, 94% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=9, exitN=139 |
5.4% | -62.5% | 0.34 | 0.09 | 16.1x | 81 | 94% |
| ADX / DI 방향성 period=47, threshold=23 |
1.0% | -18.3% | 0.27 | 0.05 | 1.7x | 16 | 4% |
| Supertrend period=11, mult=5 |
1.6% | -61.4% | 0.18 | 0.03 | 2.3x | 169 | 57% |
| SMA 크로스오버 fast=9, slow=156 |
0.5% | -63.9% | 0.11 | 0.01 | 1.3x | 197 | 63% |
| EMA 크로스오버 fast=43, slow=88 |
0.1% | -74.4% | 0.09 | 0.00 | 1.1x | 143 | 64% |
| ROC 모멘텀 n=126, threshold=-0.01 |
-0.4% | -74.3% | 0.06 | -0.01 | 0.8x | 543 | 66% |
| Parabolic SAR step=0.005, maxStep=0.28 |
-1.7% | -79.7% | -0.01 | -0.02 | 0.4x | 439 | 55% |
| 볼린저 밴드 돌파 n=59, k=3.2 |
-0.4% | -50.8% | -0.03 | -0.01 | 0.8x | 52 | 9% |
| MACD fast=15, slow=28, signal=21 |
-2.4% | -86.2% | -0.06 | -0.03 | 0.3x | 683 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=11, mult=2.4 |
-1.6% | -73.9% | -0.07 | -0.02 | 0.4x | 265 | 37% |
| Buy and hold | 4.7% | -74.6% | 0.31 | 0.06 | 11.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 9 days
- Sell — Sell when price breaks below the lowest low of the last 139 days