Trend-Following Backtester · Guide · backtest 한국어
equity · US
Avient Corporation backtest
10 trend-following strategies were compared on the full daily history of Avient Corporation. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.4%, MDD -49.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.9%, drawdown -90.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -49.2%, Sharpe 0.44, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 41.1%p (CAGR 9.4%, MDD -49.2%, 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=32, slow=115 |
9.4% | -49.2% | 0.44 | 0.19 | 11.1x | 59 | 58% |
| Donchian 채널 돌파 entryN=51, exitN=43 |
7.9% | -57.4% | 0.40 | 0.14 | 7.7x | 59 | 55% |
| EMA 크로스오버 fast=46, slow=51 |
7.2% | -56.4% | 0.38 | 0.13 | 6.5x | 77 | 58% |
| Supertrend period=28, mult=5 |
6.2% | -76.6% | 0.35 | 0.08 | 5.1x | 77 | 61% |
| 볼린저 밴드 돌파 n=37, k=3.3 |
1.8% | -34.3% | 0.24 | 0.05 | 1.6x | 23 | 6% |
| ROC 모멘텀 n=129, threshold=-0.02 |
2.5% | -81.2% | 0.23 | 0.03 | 1.9x | 225 | 60% |
| Parabolic SAR step=0.025, maxStep=0.06 |
0.5% | -72.0% | 0.17 | 0.01 | 1.1x | 437 | 55% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=20, mult=3.8 |
1.1% | -28.7% | 0.15 | 0.04 | 1.3x | 37 | 10% |
| ADX / DI 방향성 period=13, threshold=32 |
0.0% | -36.0% | 0.07 | 0.00 | 1.0x | 114 | 10% |
| MACD fast=19, slow=58, signal=17 |
-3.3% | -78.9% | 0.04 | -0.04 | 0.4x | 329 | 49% |
| Buy and hold | 4.9% | -90.3% | 0.35 | 0.05 | 3.7x | 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 32-day average price crosses above the 115-day average
- Sell — Sell (to cash) when the 32-day average falls below the 115-day average