Trend-Following Backtester · Guide · backtest 한국어
equity · US
TXNM Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of TXNM Energy, Inc.. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.4%, MDD -38.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.5%, drawdown -81.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -38.7%, Sharpe 0.34, 60% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 4.4%, MDD -38.7%, 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=9, slow=217 |
4.4% | -38.7% | 0.34 | 0.11 | 10.0x | 118 | 60% |
| 볼린저 밴드 돌파 n=32, k=3.2 |
1.8% | -26.5% | 0.30 | 0.07 | 2.6x | 54 | 7% |
| EMA 크로스오버 fast=55, slow=161 |
3.4% | -48.3% | 0.28 | 0.07 | 6.0x | 66 | 62% |
| Keltner 채널 돌파 emaPeriod=164, atrPeriod=8, mult=2.4 |
2.6% | -44.2% | 0.25 | 0.06 | 3.9x | 136 | 50% |
| ROC 모멘텀 n=128, threshold=-0.08 |
2.5% | -54.2% | 0.23 | 0.05 | 3.7x | 289 | 75% |
| Donchian 채널 돌파 entryN=28, exitN=75 |
1.7% | -77.5% | 0.18 | 0.02 | 2.4x | 129 | 74% |
| Supertrend period=16, mult=5 |
1.6% | -71.8% | 0.18 | 0.02 | 2.3x | 162 | 57% |
| ADX / DI 방향성 period=35, threshold=33 |
0.2% | -5.5% | 0.14 | 0.03 | 1.1x | 4 | 1% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.4% | -63.1% | 0.06 | -0.01 | 0.8x | 425 | 53% |
| MACD fast=20, slow=58, signal=16 |
-4.4% | -91.1% | -0.16 | -0.05 | 0.1x | 581 | 50% |
| Buy and hold | 2.5% | -81.8% | 0.23 | 0.03 | 3.8x | 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 9-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 9-day average falls below the 217-day average