Trend-Following Backtester · Guide · backtest 한국어
equity · US
Williams Companies, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Williams Companies, Inc. (The). 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.8%, MDD -50.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 7.1%, drawdown -98.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.8%, MDD -50.9%, Sharpe 0.56, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.8%p higher than buy and hold, while drawdown improves by 47.3%p (CAGR 11.8%, MDD -50.9%, exposure 65%).
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=54, slow=126 |
11.8% | -50.9% | 0.56 | 0.23 | 145.4x | 87 | 65% |
| EMA 크로스오버 fast=51, slow=98 |
9.7% | -59.5% | 0.49 | 0.16 | 61.2x | 77 | 69% |
| Donchian 채널 돌파 entryN=21, exitN=36 |
9.2% | -62.6% | 0.46 | 0.15 | 51.1x | 163 | 70% |
| ROC 모멘텀 Hold-like · Exposure 97% n=4, threshold=-0.09 |
8.3% | -84.3% | 0.40 | 0.10 | 35.3x | 289 | 97% |
| Supertrend period=7, mult=5 |
6.0% | -73.2% | 0.35 | 0.08 | 13.2x | 143 | 57% |
| 볼린저 밴드 돌파 n=70, k=1 |
4.3% | -64.1% | 0.30 | 0.07 | 6.4x | 260 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=17, mult=1.1 |
4.0% | -70.4% | 0.29 | 0.06 | 5.8x | 368 | 52% |
| ADX / DI 방향성 period=39, threshold=13 |
2.9% | -72.7% | 0.24 | 0.04 | 3.6x | 262 | 36% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.1% | -83.7% | 0.22 | 0.03 | 2.5x | 362 | 55% |
| MACD fast=31, slow=55, signal=28 |
0.0% | -80.7% | 0.14 | 0.00 | 1.0x | 350 | 53% |
| Buy and hold | 7.1% | -98.2% | 0.38 | 0.07 | 20.8x | 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 54-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 54-day average falls below the 126-day average