Trend-Following Backtester · Guide · backtest 한국어
equity · US
NextEra Energy, Inc. backtest
10 trend-following strategies were compared on the full daily history of NextEra Energy, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.6%, MDD -37.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.1%, drawdown -64.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.6%, MDD -37.9%, Sharpe 0.42, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 27.0%p (CAGR 5.6%, MDD -37.9%, exposure 63%).
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=68, slow=159 |
5.6% | -37.9% | 0.42 | 0.15 | 18.6x | 89 | 63% |
| ROC 모멘텀 n=156, threshold=-0.09 |
4.8% | -54.4% | 0.35 | 0.09 | 12.1x | 203 | 85% |
| Donchian 채널 돌파 entryN=7, exitN=79 |
4.4% | -54.2% | 0.32 | 0.08 | 10.1x | 155 | 91% |
| EMA 크로스오버 fast=43, slow=199 |
3.7% | -50.6% | 0.31 | 0.07 | 6.9x | 77 | 70% |
| ADX / DI 방향성 period=36, threshold=32 |
0.2% | -6.7% | 0.18 | 0.03 | 1.1x | 4 | 1% |
| Supertrend period=27, mult=4.9 |
0.5% | -65.0% | 0.11 | 0.01 | 1.3x | 184 | 60% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
-0.1% | -38.8% | 0.04 | -0.00 | 0.9x | 188 | 35% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=19, mult=3 |
-0.7% | -53.5% | -0.02 | -0.01 | 0.7x | 204 | 35% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-2.2% | -84.9% | -0.07 | -0.03 | 0.3x | 473 | 56% |
| MACD fast=14, slow=27, signal=17 |
-2.3% | -90.6% | -0.08 | -0.03 | 0.3x | 765 | 51% |
| Buy and hold | 7.1% | -64.9% | 0.42 | 0.11 | 38.2x | 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 68-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 68-day average falls below the 159-day average