Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Croda International Plc backtest
10 trend-following strategies were compared on the full daily history of Croda International Plc. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.8%, MDD -59.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.4%, drawdown -76.6%).
Sharpe leader (same as main): Supertrend — CAGR 5.8%, MDD -59.9%, Sharpe 0.37, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 16.7%p (CAGR 5.8%, MDD -59.9%, exposure 61%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=4.7 |
5.8% | -59.9% | 0.37 | 0.10 | 8.6x | 197 | 61% |
| Keltner 채널 돌파 emaPeriod=128, atrPeriod=21, mult=2.7 |
4.1% | -55.8% | 0.32 | 0.07 | 4.6x | 113 | 45% |
| Donchian 채널 돌파 entryN=12, exitN=49 |
4.8% | -61.1% | 0.31 | 0.08 | 6.0x | 179 | 77% |
| SMA 크로스오버 fast=70, slow=113 |
4.1% | -60.9% | 0.30 | 0.07 | 4.6x | 89 | 60% |
| EMA 크로스오버 fast=53, slow=216 |
3.9% | -68.2% | 0.29 | 0.06 | 4.3x | 49 | 60% |
| ROC 모멘텀 n=137, threshold=-0.03 |
2.1% | -65.9% | 0.20 | 0.03 | 2.2x | 289 | 65% |
| 볼린저 밴드 돌파 n=13, k=3.2 |
0.4% | -13.4% | 0.15 | 0.03 | 1.2x | 16 | 1% |
| ADX / DI 방향성 period=23, threshold=19 |
0.7% | -70.9% | 0.12 | 0.01 | 1.3x | 263 | 30% |
| MACD fast=12, slow=26, signal=19 |
-1.2% | -77.1% | 0.03 | -0.02 | 0.6x | 551 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-2.2% | -81.3% | -0.02 | -0.03 | 0.4x | 773 | 53% |
| Buy and hold | 7.4% | -76.6% | 0.39 | 0.10 | 15.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)