Trend-Following Backtester · Guide · backtest 한국어
equity · US
Middlesex Water Company backtest
10 trend-following strategies were compared on the full daily history of Middlesex Water Company. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.5%, drawdown -61.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.3%, MDD -45.4%, Sharpe 0.30, 62% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=64, slow=240 |
4.3% | -45.4% | 0.30 | 0.10 | 9.6x | 59 | 62% |
| ADX / DI 방향성 period=37, threshold=33 |
2.1% | -36.0% | 0.29 | 0.06 | 3.1x | 8 | 24% |
| EMA 크로스오버 fast=52, slow=190 |
3.3% | -54.4% | 0.26 | 0.06 | 5.7x | 79 | 63% |
| Supertrend period=13, mult=4.6 |
-0.3% | -76.4% | 0.10 | -0.00 | 0.8x | 137 | 62% |
| Donchian 채널 돌파 entryN=98, exitN=58 |
-0.0% | -55.0% | 0.09 | -0.00 | 1.0x | 89 | 40% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
0.2% | -34.3% | 0.06 | 0.00 | 1.1x | 44 | 4% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=11, mult=4 |
0.1% | -24.1% | 0.05 | 0.00 | 1.1x | 4 | 0% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-4.6% | -98.3% | -0.11 | -0.05 | 0.1x | 665 | 51% |
| ROC 모멘텀 n=5, threshold=0.28 |
-0.4% | -19.9% | -0.14 | -0.02 | 0.8x | 4 | 0% |
| MACD fast=22, slow=58, signal=19 |
-12.9% | -100.0% | -0.53 | -0.13 | 0.0x | 673 | 50% |
| Buy and hold | 6.5% | -61.9% | 0.36 | 0.11 | 29.0x | 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 64-day average price crosses above the 240-day average
- Sell — Sell (to cash) when the 64-day average falls below the 240-day average