Trend-Following Backtester · Guide · backtest 한국어
equity · US
CenterPoint Energy, Inc (Holding Co) backtest
10 trend-following strategies were compared on the full daily history of CenterPoint Energy, Inc (Holding Co). 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.9%, MDD -52.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.4%, drawdown -89.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.9%, MDD -52.5%, Sharpe 0.33, 56% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 3.9%, MDD -52.5%, exposure 56%).
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=207 |
3.9% | -52.5% | 0.33 | 0.08 | 8.9x | 69 | 56% |
| ADX / DI 방향성 period=36, threshold=39 |
0.2% | -4.1% | 0.21 | 0.05 | 1.1x | 2 | 0% |
| EMA 크로스오버 fast=41, slow=195 |
1.0% | -63.8% | 0.14 | 0.02 | 1.8x | 101 | 59% |
| Donchian 채널 돌파 entryN=104, exitN=73 |
0.9% | -67.4% | 0.13 | 0.01 | 1.6x | 81 | 51% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
0.3% | -46.3% | 0.08 | 0.01 | 1.2x | 88 | 16% |
| Supertrend period=28, mult=4.2 |
-0.4% | -71.4% | 0.06 | -0.01 | 0.8x | 247 | 52% |
| ROC 모멘텀 n=132, threshold=-0.03 |
-1.3% | -77.8% | 0.01 | -0.02 | 0.5x | 501 | 67% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=7, mult=3.2 |
-0.6% | -65.6% | 0.00 | -0.01 | 0.7x | 182 | 32% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-2.5% | -87.6% | -0.06 | -0.03 | 0.2x | 708 | 55% |
| MACD fast=14, slow=25, signal=14 |
-4.2% | -94.5% | -0.16 | -0.04 | 0.1x | 898 | 51% |
| Buy and hold | 2.4% | -89.3% | 0.22 | 0.03 | 3.7x | 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 207-day average
- Sell — Sell (to cash) when the 64-day average falls below the 207-day average