Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Elis SA backtest
10 trend-following strategies were compared on the full daily history of Elis SA. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.2%, drawdown -74.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.7%, MDD -7.2%, Sharpe 0.46, 2% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.0%, MDD -31.9%, exposure 56%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=15, threshold=44 |
1.7% | -7.2% | 0.46 | 0.24 | 1.2x | 8 | 2% |
| Donchian 채널 돌파 entryN=59, exitN=62 |
4.0% | -31.9% | 0.30 | 0.12 | 1.6x | 18 | 56% |
| ROC 모멘텀 n=139, threshold=-0.02 |
3.4% | -34.1% | 0.26 | 0.10 | 1.5x | 63 | 60% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=9, mult=3.5 |
1.2% | -18.9% | 0.20 | 0.06 | 1.1x | 16 | 11% |
| SMA 크로스오버 fast=32, slow=176 |
0.8% | -43.0% | 0.14 | 0.02 | 1.1x | 17 | 54% |
| Supertrend period=14, mult=3.7 |
0.5% | -48.8% | 0.13 | 0.01 | 1.1x | 58 | 62% |
| EMA 크로스오버 fast=41, slow=133 |
0.7% | -38.5% | 0.13 | 0.02 | 1.1x | 19 | 57% |
| 볼린저 밴드 돌파 n=47, k=3.4 |
0.0% | -12.9% | 0.03 | 0.00 | 1.0x | 4 | 3% |
| MACD fast=16, slow=31, signal=12 |
-2.5% | -63.9% | -0.00 | -0.04 | 0.8x | 166 | 52% |
| Parabolic SAR step=0.03, maxStep=0.38 |
-11.3% | -78.6% | -0.40 | -0.14 | 0.3x | 330 | 57% |
| Buy and hold | 6.2% | -74.5% | 0.34 | 0.08 | 2.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 15-day) is ≥ 44
- Sell — Sell when direction flips or the trend weakens (ADX < 44)