Trend-Following Backtester · Guide · backtest 한국어
equity · US
Eversource Energy (D/B/A) backtest
10 trend-following strategies were compared on the full daily history of Eversource Energy (D/B/A). 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.0%, MDD -41.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.9%, drawdown -73.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -41.0%, Sharpe 0.32, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 4.0%, MDD -41.0%, exposure 61%).
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=75, slow=493 |
4.0% | -41.0% | 0.32 | 0.10 | 8.2x | 31 | 61% |
| EMA 크로스오버 fast=44, slow=254 |
2.4% | -58.5% | 0.23 | 0.04 | 3.5x | 59 | 62% |
| ROC 모멘텀 Hold-like · Exposure 100% n=7, threshold=-0.14 |
2.4% | -76.9% | 0.22 | 0.03 | 3.6x | 39 | 100% |
| Donchian 채널 돌파 entryN=98, exitN=40 |
1.0% | -47.7% | 0.14 | 0.02 | 1.7x | 107 | 41% |
| Supertrend period=13, mult=4.8 |
-0.4% | -65.7% | 0.05 | -0.01 | 0.8x | 157 | 56% |
| ADX / DI 방향성 period=38, threshold=25 |
0.1% | -22.4% | 0.03 | 0.00 | 1.0x | 26 | 4% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=22, mult=3.8 |
0.0% | -37.9% | 0.03 | 0.00 | 1.0x | 46 | 5% |
| Parabolic SAR step=0.005, maxStep=0.02 |
-0.9% | -64.4% | 0.02 | -0.01 | 0.6x | 279 | 55% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
-0.0% | -24.9% | 0.02 | -0.00 | 1.0x | 26 | 5% |
| MACD fast=19, slow=43, signal=18 |
-4.1% | -91.2% | -0.19 | -0.04 | 0.1x | 625 | 50% |
| Buy and hold | 2.9% | -73.0% | 0.24 | 0.04 | 4.6x | 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 75-day average price crosses above the 493-day average
- Sell — Sell (to cash) when the 75-day average falls below the 493-day average