Trend-Following Backtester · Guide · backtest 한국어
equity · US
FirstEnergy Corp. backtest
10 trend-following strategies were compared on the full daily history of FirstEnergy Corp.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 3.5%, MDD -41.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.3%, drawdown -68.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.5%, MDD -41.2%, Sharpe 0.29, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.3%p higher than buy and hold, while drawdown improves by 26.9%p (CAGR 3.5%, MDD -41.2%, exposure 59%).
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=69, slow=218 |
3.5% | -41.2% | 0.29 | 0.09 | 2.7x | 34 | 59% |
| Supertrend period=11, mult=4.5 |
0.6% | -60.5% | 0.11 | 0.01 | 1.2x | 101 | 58% |
| EMA 크로스오버 fast=46, slow=179 |
0.2% | -55.6% | 0.09 | 0.00 | 1.0x | 45 | 58% |
| ADX / DI 방향성 period=35, threshold=25 |
0.3% | -14.8% | 0.09 | 0.02 | 1.1x | 16 | 4% |
| ROC 모멘텀 n=9, threshold=-0.07 |
-0.5% | -74.7% | 0.09 | -0.01 | 0.9x | 207 | 95% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=21, mult=3.2 |
0.1% | -11.8% | 0.06 | 0.01 | 1.0x | 12 | 2% |
| Donchian 채널 돌파 entryN=74, exitN=58 |
-0.1% | -48.4% | 0.06 | -0.00 | 1.0x | 52 | 52% |
| 볼린저 밴드 돌파 n=24, k=3.1 |
-0.5% | -28.5% | -0.09 | -0.02 | 0.9x | 24 | 4% |
| MACD fast=18, slow=54, signal=14 |
-4.0% | -79.8% | -0.17 | -0.05 | 0.3x | 347 | 54% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.5% | -82.3% | -0.21 | -0.06 | 0.3x | 263 | 54% |
| Buy and hold | 2.3% | -68.1% | 0.22 | 0.03 | 1.9x | 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 69-day average price crosses above the 218-day average
- Sell — Sell (to cash) when the 69-day average falls below the 218-day average