Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Eramet SA backtest
10 trend-following strategies were compared on the full daily history of Eramet SA. 10 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.2%, MDD -28.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -1.0%, drawdown -97.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 16.0%, MDD -64.6%, Sharpe 0.61, 48% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.9%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 4.2%, MDD -28.5%, exposure 9%).
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=43, slow=97 |
16.0% | -64.6% | 0.61 | 0.25 | 51.2x | 38 | 48% |
| SMA 크로스오버 fast=18, slow=170 |
15.9% | -64.4% | 0.61 | 0.25 | 50.7x | 46 | 49% |
| 볼린저 밴드 돌파 n=47, k=1.6 |
12.3% | -51.4% | 0.55 | 0.24 | 21.8x | 126 | 36% |
| Donchian 채널 돌파 entryN=75, exitN=26 |
11.0% | -63.2% | 0.52 | 0.17 | 15.9x | 58 | 33% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=1.8 |
10.3% | -59.6% | 0.48 | 0.17 | 13.4x | 144 | 38% |
| Supertrend period=23, mult=4.5 |
10.1% | -74.8% | 0.46 | 0.14 | 13.0x | 100 | 45% |
| ROC 모멘텀 n=141, threshold=-0.04 |
9.2% | -80.7% | 0.42 | 0.11 | 10.4x | 180 | 55% |
| ADX / DI 방향성 period=27, threshold=27 |
4.2% | -28.5% | 0.36 | 0.15 | 3.0x | 38 | 9% |
| Parabolic SAR step=0.015, maxStep=0.2 |
2.6% | -93.8% | 0.24 | 0.03 | 2.0x | 461 | 50% |
| MACD fast=16, slow=39, signal=15 |
-0.0% | -92.5% | 0.18 | -0.00 | 1.0x | 327 | 50% |
| Buy and hold | -1.0% | -97.6% | 0.23 | -0.01 | 0.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 43-day EMA crosses above the 97-day EMA
- Sell — Sell when the 43-day EMA falls below the 97-day EMA