Trend-Following Backtester · Guide · backtest 한국어
equity · US
Dominion Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of Dominion Energy, Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -56.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.6%, MDD -67.9%, Sharpe 0.37, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=10, threshold=-0.11 |
5.6% | -67.9% | 0.37 | 0.08 | 12.5x | 55 | 99% |
| SMA 크로스오버 fast=55, slow=203 |
4.5% | -42.2% | 0.34 | 0.11 | 7.7x | 69 | 68% |
| Donchian 채널 돌파 entryN=10, exitN=131 |
4.3% | -68.8% | 0.31 | 0.06 | 6.9x | 75 | 92% |
| EMA 크로스오버 fast=72, slow=159 |
3.3% | -60.8% | 0.27 | 0.05 | 4.4x | 63 | 69% |
| 볼린저 밴드 돌파 n=17, k=3.3 |
0.3% | -8.9% | 0.14 | 0.03 | 1.1x | 12 | 1% |
| Supertrend period=8, mult=5 |
-0.5% | -69.1% | 0.04 | -0.01 | 0.8x | 157 | 57% |
| ADX / DI 방향성 period=33, threshold=27 |
-0.1% | -17.8% | -0.03 | -0.01 | 1.0x | 20 | 2% |
| MACD fast=26, slow=58, signal=24 |
-3.7% | -86.2% | -0.22 | -0.04 | 0.2x | 406 | 52% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.3% | -91.1% | -0.24 | -0.05 | 0.1x | 406 | 56% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=19, mult=3.6 |
-2.8% | -79.4% | -0.34 | -0.04 | 0.3x | 120 | 17% |
| Buy and hold | 6.9% | -56.0% | 0.41 | 0.12 | 21.7x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 10-day return is greater than -11%
- Sell — Sell when the 10-day return drops to -11% or below