Trend-Following Backtester · Guide · backtest 한국어
equity · US
American Water Works Company, Inc. backtest
10 trend-following strategies were compared on the full daily history of American Water Works Company, 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 10.9%, drawdown -39.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -22.8%, Sharpe 0.51, 51% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 7.1%, MDD -41.7%, exposure 72%.
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=125, exitN=59 |
5.7% | -22.8% | 0.51 | 0.25 | 2.8x | 22 | 51% |
| EMA 크로스오버 fast=50, slow=198 |
7.1% | -41.7% | 0.47 | 0.17 | 3.5x | 19 | 72% |
| SMA 크로스오버 fast=55, slow=94 |
6.8% | -48.4% | 0.47 | 0.14 | 3.3x | 53 | 63% |
| 볼린저 밴드 돌파 n=49, k=2.6 |
2.0% | -21.2% | 0.26 | 0.10 | 1.4x | 51 | 28% |
| Supertrend period=26, mult=2.7 |
1.9% | -35.5% | 0.20 | 0.05 | 1.4x | 129 | 65% |
| ROC 모멘텀 n=127, threshold=-0.04 |
0.7% | -62.8% | 0.13 | 0.01 | 1.1x | 137 | 78% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=8, mult=2.8 |
0.3% | -35.2% | 0.08 | 0.01 | 1.1x | 68 | 36% |
| ADX / DI 방향성 period=34, threshold=28 |
0.1% | -4.4% | 0.04 | 0.01 | 1.0x | 6 | 2% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.7% | -40.3% | 0.03 | -0.02 | 0.9x | 179 | 59% |
| MACD fast=16, slow=24, signal=20 |
-1.7% | -53.7% | -0.04 | -0.03 | 0.7x | 246 | 50% |
| Buy and hold | 10.9% | -39.7% | 0.56 | 0.27 | 6.7x | 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 125 days
- Sell — Sell when price breaks below the lowest low of the last 59 days