Trend-Following Backtester · Guide · backtest 한국어
equity · US
WEC Energy Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of WEC Energy Group, Inc.. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 8.8%, drawdown -50.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.1%, MDD -50.0%, Sharpe 0.55, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.11 |
9.1% | -50.0% | 0.55 | 0.18 | 57.3x | 5 | 100% |
| EMA 크로스오버 fast=52, slow=187 |
4.7% | -48.1% | 0.37 | 0.10 | 8.3x | 63 | 72% |
| SMA 크로스오버 fast=54, slow=195 |
4.6% | -41.0% | 0.37 | 0.11 | 7.9x | 61 | 68% |
| Donchian 채널 돌파 entryN=88, exitN=79 |
3.3% | -50.5% | 0.30 | 0.07 | 4.5x | 66 | 62% |
| Supertrend period=6, mult=5 |
0.1% | -62.7% | 0.07 | 0.00 | 1.0x | 157 | 59% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
0.0% | -12.9% | 0.01 | 0.00 | 1.0x | 16 | 1% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=24, mult=3.5 |
-0.0% | -18.1% | -0.01 | -0.00 | 1.0x | 22 | 2% |
| ADX / DI 방향성 period=31, threshold=23 |
-0.3% | -32.8% | -0.04 | -0.01 | 0.9x | 70 | 8% |
| MACD fast=25, slow=35, signal=28 |
-2.3% | -74.8% | -0.11 | -0.03 | 0.3x | 456 | 51% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.5% | -81.4% | -0.11 | -0.03 | 0.3x | 408 | 56% |
| Buy and hold | 8.8% | -50.0% | 0.53 | 0.18 | 49.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than -11%
- Sell — Sell when the 1-day return drops to -11% or below