Trend-Following Backtester · Guide · backtest 한국어
equity · US
Alliant Energy Corporation backtest
10 trend-following strategies were compared on the full daily history of Alliant Energy Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.9%, MDD -46.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -60.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -46.9%, Sharpe 0.33, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.5%, MDD -63.8%, exposure 100%. It is hold-like at 95%+ exposure and is not used as the featured strategy.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p lower than buy and hold, while drawdown improves by 13.8%p (CAGR 3.9%, MDD -46.9%, exposure 62%).
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=62, slow=213 |
3.9% | -46.9% | 0.33 | 0.08 | 7.8x | 73 | 62% |
| ROC 모멘텀 Hold-like · Exposure 100% n=3, threshold=-0.1 |
4.5% | -63.8% | 0.32 | 0.07 | 10.5x | 21 | 100% |
| EMA 크로스오버 fast=43, slow=207 |
3.3% | -54.5% | 0.29 | 0.06 | 5.5x | 71 | 64% |
| Donchian 채널 돌파 entryN=41, exitN=77 |
1.5% | -58.9% | 0.17 | 0.02 | 2.2x | 109 | 69% |
| ADX / DI 방향성 period=29, threshold=20 |
0.1% | -33.1% | 0.05 | 0.00 | 1.0x | 138 | 14% |
| Supertrend period=16, mult=3.6 |
-1.4% | -75.3% | -0.02 | -0.02 | 0.5x | 262 | 58% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=23, mult=4 |
-0.3% | -36.8% | -0.04 | -0.01 | 0.9x | 44 | 5% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.0% | -75.9% | -0.07 | -0.03 | 0.3x | 448 | 54% |
| 볼린저 밴드 돌파 n=14, k=2.8 |
-0.4% | -39.5% | -0.08 | -0.01 | 0.8x | 82 | 4% |
| MACD fast=16, slow=31, signal=24 |
-4.1% | -90.9% | -0.23 | -0.05 | 0.1x | 652 | 51% |
| Buy and hold | 5.1% | -60.7% | 0.34 | 0.08 | 14.0x | 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 62-day average price crosses above the 213-day average
- Sell — Sell (to cash) when the 62-day average falls below the 213-day average