Trend-Following Backtester · Guide · backtest 한국어
equity · US
NRG Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of NRG Energy, Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.9%, MDD -63.3%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -80.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 4.9%, MDD -24.1%, Sharpe 0.62, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 11.9%, MDD -63.3%, exposure 60%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 7.4%p lower than buy and hold, while drawdown improves by 56.8%p (CAGR 11.9%, MDD -63.3%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=17, threshold=35 |
4.9% | -24.1% | 0.62 | 0.20 | 3.0x | 38 | 11% |
| SMA 크로스오버 fast=42, slow=139 |
11.9% | -63.3% | 0.56 | 0.19 | 12.8x | 42 | 60% |
| ROC 모멘텀 n=114, threshold=-0.02 |
10.2% | -63.2% | 0.50 | 0.16 | 9.0x | 164 | 65% |
| EMA 크로스오버 fast=39, slow=185 |
9.9% | -68.8% | 0.49 | 0.14 | 8.5x | 32 | 61% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=24, mult=1.1 |
8.4% | -49.4% | 0.48 | 0.17 | 6.2x | 160 | 49% |
| Donchian 채널 돌파 entryN=19, exitN=60 |
10.0% | -61.8% | 0.47 | 0.16 | 8.7x | 67 | 75% |
| 볼린저 밴드 돌파 n=56, k=1.8 |
6.5% | -38.3% | 0.42 | 0.17 | 4.2x | 94 | 36% |
| Supertrend period=12, mult=5 |
6.1% | -56.4% | 0.36 | 0.11 | 3.8x | 78 | 53% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.2% | -85.5% | 0.21 | 0.03 | 1.6x | 206 | 55% |
| MACD fast=16, slow=58, signal=23 |
0.2% | -82.9% | 0.14 | 0.00 | 1.0x | 226 | 52% |
| Buy and hold | 12.3% | -80.9% | 0.49 | 0.15 | 13.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 17-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)