Trend-Following Backtester · Guide · backtest 한국어
equity · US
Portland General Electric Co backtest
10 trend-following strategies were compared on the full daily history of Portland General Electric Co. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 2.8%, MDD -36.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.4%, drawdown -53.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.8%, MDD -36.4%, Sharpe 0.25, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 17.3%p (CAGR 2.8%, MDD -36.4%, 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=74, slow=210 |
2.8% | -36.4% | 0.25 | 0.08 | 1.7x | 21 | 60% |
| Donchian 채널 돌파 entryN=38, exitN=67 |
1.4% | -44.4% | 0.17 | 0.03 | 1.3x | 37 | 71% |
| EMA 크로스오버 fast=55, slow=113 |
1.2% | -40.2% | 0.16 | 0.03 | 1.3x | 29 | 63% |
| ROC 모멘텀 n=7, threshold=0.14 |
0.1% | -2.6% | 0.13 | 0.06 | 1.0x | 6 | 0% |
| 볼린저 밴드 돌파 n=18, k=3.5 |
0.1% | -4.2% | 0.11 | 0.03 | 1.0x | 2 | 0% |
| Supertrend period=14, mult=4.4 |
-0.5% | -35.2% | 0.03 | -0.01 | 0.9x | 69 | 58% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=14, mult=4 |
-0.1% | -28.2% | 0.01 | -0.00 | 1.0x | 30 | 17% |
| ADX / DI 방향성 period=31, threshold=18 |
-2.0% | -41.2% | -0.30 | -0.05 | 0.7x | 58 | 13% |
| MACD fast=18, slow=35, signal=23 |
-5.5% | -76.0% | -0.32 | -0.07 | 0.3x | 242 | 51% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-5.8% | -73.4% | -0.35 | -0.08 | 0.3x | 202 | 54% |
| Buy and hold | 2.4% | -53.7% | 0.22 | 0.04 | 1.6x | 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 74-day average price crosses above the 210-day average
- Sell — Sell (to cash) when the 74-day average falls below the 210-day average