Trend-Following Backtester · Guide · backtest 한국어
equity · US
Centrus Energy Corp. backtest
10 trend-following strategies were compared on the full daily history of Centrus Energy Corp.. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.7%, MDD -78.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR -10.5%, drawdown -100.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.4%, MDD -83.7%, Sharpe 0.47, 15% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.9%p higher than buy and hold, while drawdown improves by 16.3%p (CAGR 7.7%, MDD -78.6%, exposure 12%).
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=72, exitN=9 |
11.4% | -83.7% | 0.47 | 0.14 | 20.7x | 66 | 15% |
| ADX / DI 방향성 period=11, threshold=39 |
9.7% | -80.4% | 0.39 | 0.12 | 13.4x | 128 | 12% |
| EMA 크로스오버 fast=43, slow=177 |
7.1% | -87.1% | 0.38 | 0.08 | 6.8x | 38 | 44% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=29, mult=3.7 |
7.7% | -78.6% | 0.38 | 0.10 | 7.9x | 54 | 12% |
| SMA 크로스오버 fast=11, slow=207 |
5.5% | -93.7% | 0.36 | 0.06 | 4.5x | 56 | 45% |
| 볼린저 밴드 돌파 n=14, k=2.6 |
6.4% | -85.2% | 0.35 | 0.07 | 5.7x | 146 | 14% |
| ROC 모멘텀 n=149, threshold=-0.01 |
-0.2% | -98.1% | 0.25 | -0.00 | 1.0x | 204 | 47% |
| Supertrend period=11, mult=3 |
-2.0% | -97.8% | 0.25 | -0.02 | 0.6x | 166 | 46% |
| Parabolic SAR step=0.015, maxStep=0.24 |
-6.0% | -99.3% | 0.18 | -0.06 | 0.2x | 461 | 46% |
| MACD fast=8, slow=48, signal=16 |
-10.4% | -99.9% | 0.13 | -0.10 | 0.0x | 415 | 52% |
| Buy and hold | -10.5% | -100.0% | 0.28 | -0.10 | 0.0x | 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 72 days
- Sell — Sell when price breaks below the lowest low of the last 9 days