Trend-Following Backtester · Guide · backtest 한국어
equity · US
Consolidated Edison, Inc. backtest
10 trend-following strategies were compared on the full daily history of Consolidated Edison, Inc.. 2 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 -37.7%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.0%, drawdown -78.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.1%, MDD -37.7%, Sharpe 0.41, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 5.3%, MDD -49.6%, exposure 94%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 41.2%p (CAGR 5.1%, MDD -37.7%, exposure 65%).
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=134, slow=200 |
5.1% | -37.7% | 0.41 | 0.14 | 16.6x | 79 | 65% |
| ROC 모멘텀 n=127, threshold=-0.15 |
5.3% | -49.6% | 0.37 | 0.11 | 18.2x | 117 | 94% |
| Donchian 채널 돌파 entryN=60, exitN=83 |
2.7% | -52.0% | 0.25 | 0.05 | 4.5x | 92 | 68% |
| EMA 크로스오버 fast=53, slow=89 |
1.6% | -68.0% | 0.18 | 0.02 | 2.4x | 133 | 62% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
0.3% | -30.7% | 0.09 | 0.01 | 1.2x | 26 | 3% |
| ADX / DI 방향성 period=37, threshold=29 |
0.2% | -18.4% | 0.06 | 0.01 | 1.1x | 10 | 2% |
| Supertrend period=10, mult=3.9 |
-0.1% | -66.7% | 0.06 | -0.00 | 0.9x | 271 | 56% |
| MACD fast=19, slow=29, signal=18 |
-0.6% | -85.4% | 0.03 | -0.01 | 0.7x | 674 | 51% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=35, mult=2.4 |
-0.8% | -71.3% | -0.01 | -0.01 | 0.6x | 254 | 41% |
| Parabolic SAR step=0.015, maxStep=0.12 |
-2.6% | -95.7% | -0.12 | -0.03 | 0.2x | 938 | 52% |
| Buy and hold | 5.0% | -78.9% | 0.34 | 0.06 | 16.0x | 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 134-day average price crosses above the 200-day average
- Sell — Sell (to cash) when the 134-day average falls below the 200-day average