Trend-Following Backtester · Guide · backtest 한국어
equity · US
Duke Energy Corporation (Holding Company) backtest
10 trend-following strategies were compared on the full daily history of Duke Energy Corporation (Holding Company). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.1%, MDD -46.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 6.6%, drawdown -74.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -46.4%, Sharpe 0.40, 70% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 27.7%p (CAGR 5.1%, MDD -46.4%, exposure 70%).
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=88, slow=276 |
5.1% | -46.4% | 0.40 | 0.11 | 10.0x | 41 | 70% |
| EMA 크로스오버 fast=74, slow=290 |
4.8% | -45.0% | 0.37 | 0.11 | 8.8x | 31 | 74% |
| ROC 모멘텀 Hold-like · Exposure 97% n=28, threshold=-0.12 |
3.6% | -73.5% | 0.28 | 0.05 | 5.1x | 99 | 97% |
| Donchian 채널 돌파 entryN=90, exitN=69 |
2.2% | -43.8% | 0.23 | 0.05 | 2.8x | 70 | 57% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
0.2% | -3.4% | 0.18 | 0.06 | 1.1x | 2 | 0% |
| Supertrend period=10, mult=5 |
0.8% | -42.4% | 0.13 | 0.02 | 1.5x | 151 | 59% |
| ADX / DI 방향성 period=30, threshold=32 |
0.3% | -11.3% | 0.11 | 0.02 | 1.1x | 8 | 1% |
| MACD fast=16, slow=44, signal=17 |
-0.9% | -51.2% | 0.01 | -0.02 | 0.7x | 517 | 52% |
| Keltner 채널 돌파 emaPeriod=45, atrPeriod=21, mult=2.6 |
-1.6% | -59.2% | -0.11 | -0.03 | 0.5x | 216 | 32% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-4.4% | -90.3% | -0.23 | -0.05 | 0.1x | 826 | 54% |
| Buy and hold | 6.6% | -74.1% | 0.41 | 0.09 | 19.4x | 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 88-day average price crosses above the 276-day average
- Sell — Sell (to cash) when the 88-day average falls below the 276-day average