Trend-Following Backtester · Guide · backtest 한국어
equity · US
Southern Company (The) backtest
10 trend-following strategies were compared on the full daily history of Southern Company (The). 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 7.6%, drawdown -39.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.1%, MDD -42.2%, Sharpe 0.45, 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=9, threshold=-0.15 |
7.1% | -42.2% | 0.45 | 0.17 | 21.2x | 11 | 100% |
| Donchian 채널 돌파 entryN=43, exitN=103 |
4.2% | -41.8% | 0.33 | 0.10 | 6.3x | 65 | 80% |
| SMA 크로스오버 fast=58, slow=165 |
3.4% | -39.0% | 0.29 | 0.09 | 4.5x | 73 | 68% |
| EMA 크로스오버 fast=91, slow=154 |
3.2% | -45.5% | 0.27 | 0.07 | 4.0x | 63 | 67% |
| 볼린저 밴드 돌파 n=14, k=3.2 |
0.1% | -3.7% | 0.13 | 0.03 | 1.0x | 2 | 0% |
| Supertrend period=6, mult=4.3 |
-0.6% | -68.8% | 0.02 | -0.01 | 0.8x | 167 | 58% |
| Parabolic SAR step=0.005, maxStep=0.3 |
-1.4% | -65.1% | -0.03 | -0.02 | 0.5x | 374 | 54% |
| MACD fast=20, slow=40, signal=18 |
-1.6% | -72.2% | -0.05 | -0.02 | 0.5x | 490 | 51% |
| ADX / DI 방향성 period=33, threshold=30 |
-0.1% | -9.9% | -0.07 | -0.01 | 0.9x | 6 | 1% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=22, mult=3.8 |
-0.3% | -20.2% | -0.11 | -0.01 | 0.9x | 16 | 1% |
| Buy and hold | 7.6% | -39.0% | 0.46 | 0.19 | 25.7x | 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 9-day return is greater than -15%
- Sell — Sell when the 9-day return drops to -15% or below