Trend-Following Backtester · Guide · backtest 한국어
equity · US
Southwest Gas Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Southwest Gas Holdings, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.6%, drawdown -65.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 1.1%, MDD -54.4%, Sharpe 0.15, 63% exposure.
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=60, slow=270 |
1.1% | -54.4% | 0.15 | 0.02 | 1.8x | 63 | 63% |
| SMA 크로스오버 fast=53, slow=219 |
0.4% | -66.5% | 0.12 | 0.01 | 1.3x | 79 | 61% |
| ROC 모멘텀 n=2, threshold=0.14 |
0.1% | -3.8% | 0.09 | 0.04 | 1.1x | 4 | 0% |
| Supertrend period=21, mult=4.5 |
-0.3% | -62.5% | 0.07 | -0.01 | 0.8x | 160 | 63% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
0.0% | -24.1% | 0.02 | 0.00 | 1.0x | 30 | 1% |
| Donchian 채널 돌파 entryN=87, exitN=64 |
-1.2% | -68.7% | 0.00 | -0.02 | 0.5x | 97 | 48% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=13, mult=3.7 |
-1.5% | -69.9% | -0.10 | -0.02 | 0.5x | 100 | 19% |
| ADX / DI 방향성 period=36, threshold=18 |
-1.4% | -63.8% | -0.12 | -0.02 | 0.5x | 116 | 13% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-4.1% | -90.6% | -0.14 | -0.04 | 0.1x | 419 | 54% |
| MACD fast=15, slow=57, signal=16 |
-5.5% | -96.3% | -0.23 | -0.06 | 0.0x | 649 | 50% |
| Buy and hold | 3.6% | -65.9% | 0.27 | 0.05 | 6.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 60-day EMA crosses above the 270-day EMA
- Sell — Sell when the 60-day EMA falls below the 270-day EMA