Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pacific Gas & Electric Co. backtest
10 trend-following strategies were compared on the full daily history of Pacific Gas & Electric Co.. 7 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR -0.0%, MDD -7.6%).
Results by strategy
7 of 10 beat buy and hold (CAGR -0.1%, drawdown -94.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.3%, MDD -49.8%, Sharpe 0.22, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 44.9%p (CAGR -0.0%, MDD -7.6%, exposure 0%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=53, slow=292 |
2.3% | -49.8% | 0.22 | 0.05 | 3.4x | 49 | 58% |
| ROC 모멘텀 Hold-like · Exposure 96% n=14, threshold=-0.1 |
1.7% | -80.8% | 0.20 | 0.02 | 2.5x | 207 | 96% |
| Donchian 채널 돌파 entryN=69, exitN=74 |
1.3% | -70.8% | 0.16 | 0.02 | 2.0x | 87 | 61% |
| Supertrend period=15, mult=4.8 |
1.2% | -60.0% | 0.16 | 0.02 | 1.9x | 161 | 54% |
| SMA 크로스오버 fast=75, slow=217 |
0.6% | -71.4% | 0.13 | 0.01 | 1.4x | 77 | 60% |
| ADX / DI 방향성 period=34, threshold=29 |
0.3% | -17.6% | 0.12 | 0.02 | 1.2x | 12 | 2% |
| MACD fast=38, slow=88, signal=24 |
-0.3% | -82.7% | 0.09 | -0.00 | 0.8x | 365 | 51% |
| 볼린저 밴드 돌파 n=11, k=3 |
-0.0% | -7.6% | 0.01 | -0.00 | 1.0x | 4 | 0% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=29, mult=3.7 |
-0.7% | -66.9% | -0.01 | -0.01 | 0.7x | 126 | 20% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-3.0% | -91.5% | -0.05 | -0.03 | 0.2x | 456 | 54% |
| Buy and hold | -0.1% | -94.7% | 0.18 | -0.00 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 53-day EMA crosses above the 292-day EMA
- Sell — Sell when the 53-day EMA falls below the 292-day EMA