Trend-Following Backtester · Guide · backtest 한국어
equity · US
Albemarle Corporation backtest
10 trend-following strategies were compared on the full daily history of Albemarle Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.5%, MDD -51.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.0%, drawdown -84.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.5%, MDD -51.7%, Sharpe 0.46, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 9.5%, MDD -51.7%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=52, slow=82 |
9.5% | -51.7% | 0.46 | 0.18 | 19.1x | 108 | 58% |
| Donchian 채널 돌파 entryN=57, exitN=40 |
8.5% | -47.6% | 0.45 | 0.18 | 14.3x | 70 | 52% |
| EMA 크로스오버 fast=58, slow=214 |
7.0% | -58.6% | 0.38 | 0.12 | 9.0x | 40 | 63% |
| 볼린저 밴드 돌파 n=65, k=2 |
4.6% | -51.8% | 0.32 | 0.09 | 4.3x | 102 | 35% |
| ROC 모멘텀 n=141, threshold=0.06 |
2.4% | -74.7% | 0.22 | 0.03 | 2.1x | 282 | 48% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=19, mult=3.6 |
1.8% | -56.0% | 0.19 | 0.03 | 1.8x | 84 | 26% |
| Supertrend period=10, mult=4.5 |
0.8% | -71.6% | 0.17 | 0.01 | 1.3x | 134 | 58% |
| MACD fast=18, slow=41, signal=22 |
0.2% | -79.4% | 0.14 | 0.00 | 1.1x | 354 | 50% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.2% | -78.3% | 0.14 | 0.00 | 1.1x | 278 | 56% |
| ADX / DI 방향성 period=28, threshold=27 |
0.2% | -30.4% | 0.06 | 0.01 | 1.1x | 28 | 4% |
| Buy and hold | 9.0% | -84.4% | 0.42 | 0.11 | 16.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 52-day average price crosses above the 82-day average
- Sell — Sell (to cash) when the 52-day average falls below the 82-day average