Trend-Following Backtester · Guide · backtest 한국어
equity · US
Entergy Corporation backtest
10 trend-following strategies were compared on the full daily history of Entergy Corporation. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.4%, drawdown -72.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 1.4%, MDD -20.7%, Sharpe 0.28, 6% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.2%, MDD -58.0%, exposure 59%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=69, k=3.5 |
1.4% | -20.7% | 0.28 | 0.07 | 2.1x | 18 | 6% |
| SMA 크로스오버 fast=59, slow=230 |
3.2% | -58.0% | 0.27 | 0.05 | 5.5x | 67 | 59% |
| Donchian 채널 돌파 entryN=48, exitN=82 |
3.0% | -68.3% | 0.26 | 0.04 | 5.1x | 101 | 67% |
| EMA 크로스오버 fast=53, slow=71 |
2.6% | -72.7% | 0.23 | 0.04 | 3.9x | 119 | 59% |
| ROC 모멘텀 n=117, threshold=-0.11 |
1.3% | -78.9% | 0.16 | 0.02 | 2.0x | 249 | 85% |
| ADX / DI 방향성 period=28, threshold=27 |
0.7% | -24.4% | 0.15 | 0.03 | 1.5x | 44 | 6% |
| Supertrend period=28, mult=5 |
1.1% | -82.8% | 0.15 | 0.01 | 1.8x | 160 | 57% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-0.7% | -63.0% | 0.04 | -0.01 | 0.7x | 450 | 53% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=18, mult=3.7 |
-0.4% | -64.3% | 0.01 | -0.01 | 0.8x | 138 | 24% |
| MACD fast=19, slow=51, signal=18 |
-3.2% | -90.0% | -0.12 | -0.04 | 0.2x | 594 | 52% |
| Buy and hold | 4.4% | -72.6% | 0.30 | 0.06 | 10.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 69-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 69-day middle average