Trend-Following Backtester · Guide · backtest 한국어
equity · US
Summit Midstream Corporation backtest
10 trend-following strategies were compared on the full daily history of Summit Midstream Corporation. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.0%, MDD -42.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -15.5%, drawdown -99.1%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.0%, MDD -42.9%, Sharpe 0.51, 29% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.6%p higher than buy and hold, while drawdown improves by 56.2%p (CAGR 11.0%, MDD -42.9%, exposure 29%).
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=47, threshold=13 |
11.0% | -42.9% | 0.51 | 0.26 | 4.3x | 42 | 29% |
| EMA 크로스오버 fast=39, slow=98 |
10.6% | -51.5% | 0.49 | 0.21 | 4.0x | 21 | 44% |
| SMA 크로스오버 fast=49, slow=140 |
9.7% | -53.8% | 0.45 | 0.18 | 3.6x | 19 | 43% |
| Donchian 채널 돌파 entryN=75, exitN=25 |
7.8% | -52.6% | 0.43 | 0.15 | 2.8x | 26 | 32% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=29, mult=2.7 |
6.7% | -59.2% | 0.39 | 0.11 | 2.5x | 32 | 25% |
| ROC 모멘텀 n=85, threshold=0.09 |
6.8% | -54.3% | 0.38 | 0.13 | 2.5x | 88 | 34% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
5.6% | -61.8% | 0.34 | 0.09 | 2.1x | 40 | 28% |
| Supertrend period=10, mult=4.3 |
2.7% | -79.8% | 0.25 | 0.03 | 1.5x | 36 | 45% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-7.5% | -79.9% | -0.03 | -0.09 | 0.3x | 239 | 52% |
| MACD fast=11, slow=38, signal=14 |
-8.9% | -85.4% | -0.03 | -0.10 | 0.3x | 203 | 52% |
| Buy and hold | -15.5% | -99.1% | 0.05 | -0.16 | 0.1x | 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, 47-day) is ≥ 13
- Sell — Sell when direction flips or the trend weakens (ADX < 13)