Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Electric Power Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of American Electric Power Company, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 2.5%, drawdown -66.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.9%, MDD -54.7%, Sharpe 0.26, 80% exposure.
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=78, exitN=242 |
2.9% | -54.7% | 0.26 | 0.05 | 5.2x | 35 | 80% |
| ROC 모멘텀 Hold-like · Exposure 100% n=9, threshold=-0.15 |
2.8% | -59.8% | 0.24 | 0.05 | 4.8x | 23 | 100% |
| SMA 크로스오버 fast=51, slow=204 |
1.9% | -45.7% | 0.20 | 0.04 | 2.8x | 89 | 59% |
| EMA 크로스오버 fast=51, slow=244 |
1.2% | -49.4% | 0.16 | 0.02 | 2.0x | 77 | 61% |
| 볼린저 밴드 돌파 n=60, k=3.5 |
0.4% | -18.7% | 0.13 | 0.02 | 1.3x | 26 | 5% |
| ADX / DI 방향성 period=28, threshold=36 |
0.1% | -7.8% | 0.09 | 0.02 | 1.1x | 10 | 1% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.6% | -73.1% | -0.04 | -0.02 | 0.4x | 474 | 54% |
| Supertrend period=21, mult=3.3 |
-1.7% | -77.2% | -0.05 | -0.02 | 0.4x | 328 | 56% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=28, mult=3.1 |
-1.4% | -62.1% | -0.11 | -0.02 | 0.5x | 188 | 25% |
| MACD fast=23, slow=45, signal=17 |
-3.0% | -90.8% | -0.15 | -0.03 | 0.2x | 634 | 51% |
| Buy and hold | 2.5% | -66.6% | 0.22 | 0.04 | 4.2x | 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 78 days
- Sell — Sell when price breaks below the lowest low of the last 242 days