Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Elementis plc backtest
10 trend-following strategies were compared on the full daily history of Elementis plc. 5 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.8%, MDD -25.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.7%, drawdown -94.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.0%, MDD -26.5%, Sharpe 0.15, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 68.3%p (CAGR 0.8%, MDD -25.7%, exposure 4%).
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=27, threshold=33 |
1.0% | -26.5% | 0.15 | 0.04 | 1.4x | 24 | 3% |
| SMA 크로스오버 fast=39, slow=129 |
0.7% | -82.3% | 0.15 | 0.01 | 1.3x | 85 | 49% |
| EMA 크로스오버 fast=36, slow=122 |
0.4% | -86.3% | 0.13 | 0.00 | 1.2x | 75 | 47% |
| 볼린저 밴드 돌파 n=11, k=2.8 |
0.8% | -25.7% | 0.13 | 0.03 | 1.4x | 68 | 4% |
| Donchian 채널 돌파 entryN=108, exitN=32 |
-0.0% | -68.3% | 0.09 | -0.00 | 1.0x | 79 | 33% |
| Supertrend period=17, mult=4.7 |
-2.1% | -90.2% | 0.04 | -0.02 | 0.4x | 193 | 53% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-2.4% | -80.0% | 0.03 | -0.03 | 0.4x | 822 | 48% |
| MACD fast=18, slow=55, signal=13 |
-3.0% | -87.9% | 0.02 | -0.03 | 0.3x | 438 | 52% |
| ROC 모멘텀 n=118, threshold=0 |
-3.5% | -94.0% | -0.03 | -0.04 | 0.3x | 337 | 48% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=3.1 |
-2.1% | -75.5% | -0.06 | -0.03 | 0.5x | 141 | 25% |
| Buy and hold | -0.7% | -94.7% | 0.19 | -0.01 | 0.8x | 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, 27-day) is ≥ 33
- Sell — Sell when direction flips or the trend weakens (ADX < 33)