Trend-Following Backtester · Guide · backtest 한국어
equity · US
Black Hills Corporation backtest
10 trend-following strategies were compared on the full daily history of Black Hills Corporation. 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 7.0%, drawdown -74.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -57.5%, Sharpe 0.34, 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=41, slow=204 |
4.6% | -57.5% | 0.34 | 0.08 | 11.3x | 85 | 62% |
| Donchian 채널 돌파 entryN=60, exitN=92 |
3.7% | -68.6% | 0.29 | 0.05 | 7.1x | 79 | 64% |
| EMA 크로스오버 fast=61, slow=82 |
3.5% | -58.1% | 0.28 | 0.06 | 6.2x | 111 | 62% |
| ROC 모멘텀 n=68, threshold=-0.11 |
3.4% | -62.8% | 0.27 | 0.05 | 6.1x | 269 | 90% |
| 볼린저 밴드 돌파 n=14, k=3.3 |
0.5% | -8.5% | 0.22 | 0.06 | 1.3x | 14 | 1% |
| ADX / DI 방향성 period=38, threshold=19 |
1.6% | -52.2% | 0.21 | 0.03 | 2.3x | 90 | 19% |
| Supertrend period=14, mult=4.4 |
1.3% | -56.8% | 0.16 | 0.02 | 2.0x | 214 | 54% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-0.2% | -62.7% | 0.08 | -0.00 | 0.9x | 433 | 55% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=23, mult=3.6 |
-0.2% | -54.7% | 0.04 | -0.00 | 0.9x | 142 | 25% |
| MACD fast=16, slow=30, signal=24 |
-2.5% | -91.4% | -0.07 | -0.03 | 0.3x | 648 | 51% |
| Buy and hold | 7.0% | -74.9% | 0.40 | 0.09 | 37.5x | 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 41-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 41-day average falls below the 204-day average