Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Clariane SE backtest
10 trend-following strategies were compared on the full daily history of Clariane SE. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -20.2%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.2%, drawdown -96.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -51.3%, Sharpe 0.31, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 8.5%p higher than buy and hold, while drawdown improves by 45.4%p (CAGR 0.2%, MDD -20.2%, exposure 2%).
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=38, slow=212 |
4.4% | -51.3% | 0.31 | 0.08 | 3.0x | 27 | 51% |
| EMA 크로스오버 fast=36, slow=190 |
3.9% | -53.1% | 0.28 | 0.07 | 2.7x | 33 | 51% |
| Donchian 채널 돌파 entryN=74, exitN=79 |
3.9% | -72.9% | 0.28 | 0.05 | 2.6x | 32 | 53% |
| 볼린저 밴드 돌파 n=57, k=2.9 |
2.7% | -56.0% | 0.24 | 0.05 | 2.0x | 38 | 17% |
| ROC 모멘텀 n=139, threshold=-0.05 |
1.9% | -81.6% | 0.20 | 0.02 | 1.6x | 173 | 60% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.1% | -82.0% | 0.14 | 0.00 | 1.0x | 182 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=18, mult=3.8 |
0.3% | -56.0% | 0.12 | 0.01 | 1.1x | 54 | 21% |
| Supertrend period=14, mult=3.3 |
-0.6% | -81.0% | 0.10 | -0.01 | 0.9x | 153 | 53% |
| ADX / DI 방향성 period=27, threshold=39 |
0.2% | -20.2% | 0.07 | 0.01 | 1.1x | 14 | 2% |
| MACD fast=18, slow=30, signal=11 |
-4.2% | -93.4% | -0.03 | -0.05 | 0.3x | 407 | 50% |
| Buy and hold | -4.2% | -96.7% | 0.09 | -0.04 | 0.3x | 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 38-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 38-day average falls below the 212-day average