Trend-Following Backtester · Guide · backtest 한국어
equity · US
Public Service Enterprise Group Incorporated backtest
10 trend-following strategies were compared on the full daily history of Public Service Enterprise Group Incorporated. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -57.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 5.4%, MDD -56.0%, Sharpe 0.35, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=8, threshold=-0.15 |
5.4% | -56.0% | 0.35 | 0.10 | 11.6x | 21 | 100% |
| Donchian 채널 돌파 entryN=7, exitN=102 |
2.4% | -58.0% | 0.22 | 0.04 | 3.0x | 135 | 92% |
| SMA 크로스오버 fast=43, slow=194 |
2.0% | -58.0% | 0.21 | 0.04 | 2.6x | 84 | 63% |
| 볼린저 밴드 돌파 n=12, k=3 |
0.1% | -3.8% | 0.15 | 0.04 | 1.1x | 4 | 0% |
| EMA 크로스오버 fast=48, slow=207 |
0.7% | -67.0% | 0.12 | 0.01 | 1.4x | 82 | 65% |
| ADX / DI 방향성 period=36, threshold=25 |
0.3% | -17.4% | 0.11 | 0.02 | 1.2x | 26 | 4% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=27, mult=4 |
0.2% | -40.9% | 0.06 | 0.01 | 1.1x | 66 | 11% |
| Supertrend period=16, mult=4.8 |
-0.8% | -71.7% | 0.02 | -0.01 | 0.7x | 158 | 56% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.6% | -87.9% | -0.15 | -0.04 | 0.2x | 394 | 54% |
| MACD fast=18, slow=33, signal=19 |
-4.8% | -92.3% | -0.24 | -0.05 | 0.1x | 592 | 51% |
| Buy and hold | 5.5% | -57.7% | 0.35 | 0.09 | 12.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 8-day return is greater than -15%
- Sell — Sell when the 8-day return drops to -15% or below