Trend-Following Backtester · Guide · backtest 한국어
equity · US
NorthWestern Energy Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of NorthWestern Energy Group, 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 4.6%, drawdown -42.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.1%, MDD -39.0%, Sharpe 0.32, 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=39, exitN=104 |
4.1% | -39.0% | 0.32 | 0.11 | 2.1x | 23 | 80% |
| ROC 모멘텀 n=116, threshold=-0.07 |
2.8% | -51.9% | 0.24 | 0.05 | 1.7x | 83 | 81% |
| SMA 크로스오버 fast=54, slow=172 |
2.4% | -44.2% | 0.23 | 0.06 | 1.6x | 27 | 66% |
| EMA 크로스오버 fast=40, slow=216 |
1.8% | -50.4% | 0.19 | 0.04 | 1.4x | 25 | 67% |
| ADX / DI 방향성 period=25, threshold=36 |
0.3% | -3.3% | 0.19 | 0.08 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=72, k=3.3 |
0.0% | -9.1% | 0.02 | 0.00 | 1.0x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=9, mult=2.9 |
-0.2% | -22.5% | -0.00 | -0.01 | 1.0x | 38 | 11% |
| MACD fast=17, slow=25, signal=16 |
-2.9% | -64.4% | -0.11 | -0.04 | 0.6x | 262 | 53% |
| Supertrend period=14, mult=4.7 |
-2.7% | -52.3% | -0.11 | -0.05 | 0.6x | 65 | 56% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-3.8% | -60.9% | -0.18 | -0.06 | 0.5x | 171 | 55% |
| Buy and hold | 4.6% | -42.0% | 0.31 | 0.11 | 2.3x | 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 39 days
- Sell — Sell when price breaks below the lowest low of the last 104 days