Trend-Following Backtester · Guide · backtest 한국어
equity · US
Essential Utilities, Inc. backtest
10 trend-following strategies were compared on the full daily history of Essential Utilities, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 11.3%, drawdown -82.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 1.5%, MDD -86.6%, Sharpe 0.23, 63% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 8.2%, MDD -82.9%, exposure 99%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=60, exitN=66 |
1.5% | -86.6% | 0.23 | 0.02 | 2.0x | 77 | 63% |
| ROC 모멘텀 Hold-like · Exposure 99% n=12, threshold=-0.11 |
8.2% | -82.9% | 0.19 | 0.10 | 38.2x | 133 | 99% |
| SMA 크로스오버 fast=46, slow=136 |
-0.3% | -85.6% | 0.16 | -0.00 | 0.9x | 98 | 63% |
| Supertrend period=21, mult=4.3 |
3.9% | -84.2% | 0.16 | 0.05 | 5.8x | 159 | 57% |
| EMA 크로스오버 fast=10, slow=186 |
1.8% | -82.9% | 0.15 | 0.02 | 2.2x | 185 | 64% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=2.2 |
-0.6% | -95.4% | 0.13 | -0.01 | 0.8x | 241 | 35% |
| 볼린저 밴드 돌파 n=44, k=1.8 |
-2.1% | -98.0% | 0.12 | -0.02 | 0.4x | 311 | 36% |
| ADX / DI 방향성 period=29, threshold=11 |
-3.7% | -98.9% | 0.11 | -0.04 | 0.2x | 517 | 38% |
| MACD fast=16, slow=33, signal=21 |
-5.1% | -99.3% | 0.10 | -0.05 | 0.1x | 609 | 51% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-5.4% | -99.4% | 0.10 | -0.05 | 0.1x | 811 | 53% |
| Buy and hold | 11.3% | -82.9% | 0.21 | 0.14 | 145.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 60 days
- Sell — Sell when price breaks below the lowest low of the last 66 days