Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avista Corporation backtest
10 trend-following strategies were compared on the full daily history of Avista Corporation. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.6%, drawdown -85.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.3%, MDD -8.9%, Sharpe 0.21, 1% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 0.8%, MDD -55.8%, exposure 0%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=38, threshold=42 |
0.3% | -8.9% | 0.21 | 0.03 | 1.2x | 2 | 1% |
| ROC 모멘텀 n=4, threshold=0.15 |
0.8% | -55.8% | 0.12 | 0.01 | 1.5x | 20 | 0% |
| SMA 크로스오버 fast=70, slow=240 |
0.4% | -77.7% | 0.12 | 0.01 | 1.3x | 67 | 58% |
| Donchian 채널 돌파 entryN=45, exitN=75 |
0.4% | -80.7% | 0.12 | 0.01 | 1.3x | 111 | 65% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
0.5% | -66.5% | 0.10 | 0.01 | 1.3x | 26 | 3% |
| EMA 크로스오버 fast=48, slow=125 |
-0.9% | -81.8% | 0.05 | -0.01 | 0.6x | 105 | 58% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=23, mult=3.7 |
-1.0% | -65.3% | -0.00 | -0.02 | 0.6x | 118 | 17% |
| Supertrend period=15, mult=5 |
-2.3% | -75.0% | -0.04 | -0.03 | 0.3x | 170 | 50% |
| MACD fast=14, slow=44, signal=14 |
-4.1% | -90.4% | -0.12 | -0.05 | 0.1x | 724 | 51% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.6% | -92.4% | -0.15 | -0.05 | 0.1x | 429 | 52% |
| Buy and hold | 2.6% | -85.2% | 0.23 | 0.03 | 3.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 38-day) is ≥ 42
- Sell — Sell when direction flips or the trend weakens (ADX < 42)