Trend-Following Backtester · Guide · backtest 한국어
equity · FR
L'Oreal S.A. backtest
10 trend-following strategies were compared on the full daily history of L'Oreal S.A.. 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 6.1%, drawdown -52.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -11.0%, Sharpe 0.36, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.8%, MDD -37.3%, exposure 63%.
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=35, threshold=21 |
1.8% | -11.0% | 0.36 | 0.17 | 1.6x | 14 | 7% |
| SMA 크로스오버 fast=41, slow=209 |
3.8% | -37.3% | 0.30 | 0.10 | 2.7x | 43 | 63% |
| EMA 크로스오버 fast=60, slow=178 |
3.3% | -33.1% | 0.27 | 0.10 | 2.4x | 33 | 66% |
| Donchian 채널 돌파 entryN=104, exitN=103 |
2.9% | -30.6% | 0.25 | 0.09 | 2.1x | 30 | 58% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=27, mult=3.9 |
0.9% | -16.8% | 0.16 | 0.05 | 1.3x | 32 | 11% |
| Supertrend period=21, mult=4.9 |
1.2% | -55.3% | 0.15 | 0.02 | 1.4x | 71 | 61% |
| ROC 모멘텀 n=88, threshold=-0.12 |
0.9% | -82.8% | 0.15 | 0.01 | 1.3x | 143 | 90% |
| 볼린저 밴드 돌파 n=41, k=3.5 |
0.5% | -17.1% | 0.15 | 0.03 | 1.2x | 10 | 4% |
| MACD fast=23, slow=54, signal=31 |
-2.3% | -67.6% | -0.06 | -0.03 | 0.5x | 218 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-7.9% | -90.7% | -0.39 | -0.09 | 0.1x | 259 | 56% |
| Buy and hold | 6.1% | -52.7% | 0.36 | 0.12 | 4.9x | 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, 35-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)