Trend-Following Backtester · Guide · backtest 한국어
equity · US
NiSource Inc backtest
10 trend-following strategies were compared on the full daily history of NiSource 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 4.2%, drawdown -76.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.2%, MDD -77.5%, Sharpe 0.35, 61% 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=11, slow=219 |
4.2% | -77.5% | 0.35 | 0.05 | 9.1x | 113 | 61% |
| EMA 크로스오버 fast=51, slow=173 |
3.8% | -62.7% | 0.32 | 0.06 | 7.3x | 67 | 61% |
| Donchian 채널 돌파 entryN=109, exitN=55 |
2.7% | -52.3% | 0.27 | 0.05 | 4.1x | 80 | 47% |
| ROC 모멘텀 n=264, threshold=-0.04 |
2.7% | -71.5% | 0.25 | 0.04 | 4.2x | 239 | 67% |
| ADX / DI 방향성 period=45, threshold=35 |
0.1% | -5.9% | 0.10 | 0.01 | 1.0x | 2 | 0% |
| Supertrend period=19, mult=5 |
-0.5% | -85.5% | 0.04 | -0.01 | 0.8x | 165 | 58% |
| 볼린저 밴드 돌파 n=56, k=2.8 |
-0.3% | -46.1% | -0.00 | -0.01 | 0.8x | 108 | 19% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=15, mult=4 |
-0.7% | -41.7% | -0.13 | -0.02 | 0.7x | 66 | 8% |
| MACD fast=19, slow=56, signal=18 |
-5.9% | -97.1% | -0.32 | -0.06 | 0.0x | 602 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-6.7% | -97.7% | -0.36 | -0.07 | 0.0x | 910 | 54% |
| Buy and hold | 4.2% | -76.6% | 0.30 | 0.06 | 9.2x | 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 11-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 11-day average falls below the 219-day average