Trend-Following Backtester · Guide · backtest 한국어
equity · US
DT Midstream, Inc. backtest
10 trend-following strategies were compared on the full daily history of DT Midstream, Inc.. 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 24.5%, drawdown -25.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 20.4%, MDD -23.6%, Sharpe 0.96, 75% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 20.7%, MDD -23.6%, exposure 79%.
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=49, slow=183 |
20.4% | -23.6% | 0.96 | 0.87 | 2.6x | 5 | 75% |
| EMA 크로스오버 fast=59, slow=150 |
20.7% | -23.6% | 0.94 | 0.88 | 2.6x | 3 | 79% |
| Donchian 채널 돌파 entryN=16, exitN=69 |
18.4% | -31.0% | 0.84 | 0.59 | 2.4x | 10 | 88% |
| ROC 모멘텀 n=127, threshold=-0.06 |
17.4% | -23.6% | 0.81 | 0.74 | 2.3x | 16 | 82% |
| Supertrend period=21, mult=4.7 |
15.1% | -28.8% | 0.81 | 0.52 | 2.1x | 14 | 70% |
| ADX / DI 방향성 period=18, threshold=29 |
5.0% | -10.9% | 0.67 | 0.46 | 1.3x | 12 | 12% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=25, mult=1.1 |
7.2% | -32.1% | 0.47 | 0.22 | 1.4x | 36 | 59% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
5.8% | -23.3% | 0.45 | 0.25 | 1.3x | 18 | 41% |
| MACD fast=17, slow=58, signal=9 |
-0.3% | -28.0% | 0.07 | -0.01 | 1.0x | 72 | 48% |
| Parabolic SAR step=0.04, maxStep=0.26 |
-4.6% | -46.3% | -0.16 | -0.10 | 0.8x | 173 | 57% |
| Buy and hold | 24.5% | -25.1% | 0.99 | 0.98 | 3.1x | 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 49-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 49-day average falls below the 183-day average