Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Imerys SA backtest
10 trend-following strategies were compared on the full daily history of Imerys SA. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.1%, MDD -4.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.5%, drawdown -77.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 0.6%, MDD -6.4%, Sharpe 0.30, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 2.5%, MDD -47.2%, exposure 50%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.1%p higher than buy and hold, while drawdown improves by 70.9%p (CAGR 0.1%, MDD -4.7%, exposure 0%).
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=34, threshold=35 |
0.6% | -6.4% | 0.30 | 0.09 | 1.2x | 4 | 2% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
0.8% | -9.1% | 0.23 | 0.09 | 1.2x | 8 | 4% |
| SMA 크로스오버 fast=49, slow=229 |
2.5% | -47.2% | 0.22 | 0.05 | 1.9x | 42 | 50% |
| EMA 크로스오버 fast=59, slow=188 |
0.7% | -60.9% | 0.13 | 0.01 | 1.2x | 36 | 50% |
| Supertrend period=25, mult=4.2 |
-0.5% | -62.5% | 0.07 | -0.01 | 0.9x | 101 | 51% |
| ROC 모멘텀 n=6, threshold=0.21 |
0.1% | -4.7% | 0.06 | 0.02 | 1.0x | 6 | 0% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=28, mult=3.9 |
-0.1% | -38.2% | 0.03 | -0.00 | 1.0x | 44 | 15% |
| Donchian 채널 돌파 entryN=46, exitN=56 |
-2.0% | -67.2% | 0.00 | -0.03 | 0.6x | 67 | 56% |
| Parabolic SAR step=0.01, maxStep=0.22 |
-4.7% | -86.4% | -0.12 | -0.05 | 0.3x | 355 | 52% |
| MACD fast=17, slow=29, signal=15 |
-5.8% | -82.4% | -0.18 | -0.07 | 0.2x | 383 | 49% |
| Buy and hold | -1.5% | -77.3% | 0.11 | -0.02 | 0.7x | 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, 34-day) is ≥ 35
- Sell — Sell when direction flips or the trend weakens (ADX < 35)