Trend-Following Backtester · Guide · backtest 한국어
equity · US
Axalta Coating Systems Ltd. backtest
10 trend-following strategies were compared on the full daily history of Axalta Coating Systems Ltd.. 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 4.8%, drawdown -63.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.8%, MDD -6.8%, Sharpe 0.54, 3% exposure.
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=31, threshold=38 |
2.8% | -6.8% | 0.54 | 0.40 | 1.4x | 2 | 3% |
| Supertrend period=20, mult=3.5 |
2.6% | -49.0% | 0.23 | 0.05 | 1.4x | 63 | 51% |
| Donchian 채널 돌파 entryN=14, exitN=49 |
1.6% | -49.4% | 0.19 | 0.03 | 1.2x | 45 | 75% |
| MACD fast=19, slow=40, signal=17 |
0.3% | -43.4% | 0.12 | 0.01 | 1.0x | 132 | 51% |
| SMA 크로스오버 fast=59, slow=137 |
-0.8% | -38.9% | 0.05 | -0.02 | 0.9x | 25 | 51% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=34, mult=3.4 |
0.0% | -16.9% | 0.04 | 0.00 | 1.0x | 10 | 5% |
| 볼린저 밴드 돌파 n=55, k=2.3 |
-1.4% | -44.8% | -0.04 | -0.03 | 0.8x | 35 | 24% |
| EMA 크로스오버 fast=29, slow=201 |
-4.1% | -48.9% | -0.14 | -0.08 | 0.6x | 23 | 52% |
| Parabolic SAR step=0.02, maxStep=0.14 |
-6.1% | -66.6% | -0.19 | -0.09 | 0.5x | 252 | 52% |
| ROC 모멘텀 n=119, threshold=-0.01 |
-6.5% | -65.5% | -0.24 | -0.10 | 0.5x | 117 | 56% |
| Buy and hold | 4.8% | -63.6% | 0.31 | 0.08 | 1.7x | 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, 31-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)