Trend-Following Backtester · Guide · backtest 한국어
equity · US
IDACORP, Inc. backtest
10 trend-following strategies were compared on the full daily history of IDACORP, 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 4.3%, drawdown -58.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.0%, MDD -49.6%, Sharpe 0.21, 62% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=212 |
2.0% | -49.6% | 0.21 | 0.04 | 2.9x | 91 | 62% |
| Donchian 채널 돌파 entryN=44, exitN=103 |
1.5% | -55.9% | 0.17 | 0.03 | 2.2x | 85 | 76% |
| EMA 크로스오버 fast=46, slow=129 |
1.4% | -54.1% | 0.17 | 0.03 | 2.2x | 93 | 62% |
| ADX / DI 방향성 period=44, threshold=31 |
0.1% | -5.9% | 0.10 | 0.01 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
-0.3% | -24.8% | -0.05 | -0.01 | 0.8x | 16 | 3% |
| ROC 모멘텀 n=137, threshold=-0.02 |
-2.1% | -77.5% | -0.07 | -0.03 | 0.3x | 473 | 67% |
| Supertrend period=22, mult=3.9 |
-2.8% | -82.6% | -0.11 | -0.03 | 0.2x | 263 | 58% |
| MACD fast=36, slow=45, signal=33 |
-3.3% | -86.5% | -0.15 | -0.04 | 0.2x | 388 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-3.4% | -86.6% | -0.16 | -0.04 | 0.2x | 452 | 54% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=25, mult=3.5 |
-1.8% | -62.4% | -0.26 | -0.03 | 0.4x | 98 | 8% |
| Buy and hold | 4.3% | -58.7% | 0.30 | 0.07 | 9.4x | 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 28-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 28-day average falls below the 212-day average