Trend-Following Backtester · Guide · backtest 한국어
equity · US
MDU Resources Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of MDU Resources Group, 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 6.5%, drawdown -62.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.6%, MDD -52.1%, Sharpe 0.35, 62% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.8%, MDD -65.1%, exposure 90%.
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=41, slow=126 |
4.6% | -52.1% | 0.35 | 0.09 | 11.2x | 112 | 62% |
| ROC 모멘텀 n=74, threshold=-0.12 |
4.8% | -65.1% | 0.33 | 0.07 | 12.3x | 229 | 90% |
| Donchian 채널 돌파 entryN=96, exitN=59 |
3.9% | -53.5% | 0.33 | 0.07 | 7.9x | 88 | 54% |
| EMA 크로스오버 fast=35, slow=207 |
3.7% | -47.7% | 0.30 | 0.08 | 7.1x | 81 | 66% |
| Supertrend period=21, mult=4.8 |
1.4% | -60.4% | 0.17 | 0.02 | 2.1x | 202 | 59% |
| ADX / DI 방향성 period=19, threshold=40 |
-0.2% | -23.0% | -0.04 | -0.01 | 0.9x | 38 | 2% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=13, mult=3 |
-1.1% | -66.5% | -0.04 | -0.02 | 0.6x | 212 | 30% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.1% | -82.4% | -0.04 | -0.03 | 0.3x | 436 | 55% |
| 볼린저 밴드 돌파 n=49, k=2.9 |
-1.1% | -63.4% | -0.08 | -0.02 | 0.6x | 114 | 17% |
| MACD fast=17, slow=54, signal=13 |
-4.5% | -93.5% | -0.19 | -0.05 | 0.1x | 704 | 52% |
| Buy and hold | 6.5% | -62.6% | 0.38 | 0.10 | 29.6x | 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 41-day average price crosses above the 126-day average
- Sell — Sell (to cash) when the 41-day average falls below the 126-day average