Trend-Following Backtester · Guide · backtest 한국어
equity · US
Pinnacle West Capital Corporation backtest
10 trend-following strategies were compared on the full daily history of Pinnacle West Capital Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.7%, MDD -61.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 2.9%, drawdown -83.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 2.7%, MDD -61.0%, Sharpe 0.25, 62% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 22.8%p (CAGR 2.7%, MDD -61.0%, exposure 62%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=38, slow=187 |
2.7% | -61.0% | 0.25 | 0.04 | 4.2x | 79 | 62% |
| SMA 크로스오버 fast=27, slow=201 |
2.6% | -60.8% | 0.24 | 0.04 | 4.0x | 85 | 60% |
| Donchian 채널 돌파 entryN=19, exitN=58 |
2.1% | -61.9% | 0.20 | 0.03 | 3.0x | 167 | 75% |
| 볼린저 밴드 돌파 n=28, k=3.1 |
0.9% | -16.8% | 0.19 | 0.05 | 1.6x | 62 | 7% |
| ROC 모멘텀 n=138, threshold=-0.03 |
0.7% | -59.6% | 0.12 | 0.01 | 1.4x | 387 | 67% |
| Supertrend period=10, mult=4.9 |
0.7% | -66.6% | 0.12 | 0.01 | 1.5x | 167 | 56% |
| ADX / DI 방향성 period=28, threshold=33 |
0.1% | -9.2% | 0.05 | 0.01 | 1.1x | 16 | 1% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=23, mult=3.1 |
-0.1% | -33.7% | 0.03 | -0.00 | 1.0x | 144 | 16% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.9% | -72.2% | -0.04 | -0.03 | 0.4x | 438 | 54% |
| MACD fast=12, slow=34, signal=13 |
-3.9% | -89.3% | -0.11 | -0.04 | 0.1x | 870 | 50% |
| Buy and hold | 2.9% | -83.8% | 0.23 | 0.03 | 4.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 38-day EMA crosses above the 187-day EMA
- Sell — Sell when the 38-day EMA falls below the 187-day EMA