Trend-Following Backtester · Guide · backtest 한국어
equity · US
Constellium SE backtest
10 trend-following strategies were compared on the full daily history of Constellium SE. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 4.8%, MDD -27.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.6%, drawdown -88.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.1%, MDD -46.4%, Sharpe 0.75, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 16.5%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 4.8%, MDD -27.2%, exposure 10%).
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=24, slow=161 |
21.1% | -46.4% | 0.75 | 0.45 | 12.7x | 24 | 54% |
| ROC 모멘텀 n=119, threshold=0.05 |
18.1% | -43.1% | 0.68 | 0.42 | 9.1x | 101 | 52% |
| Keltner 채널 돌파 emaPeriod=90, atrPeriod=17, mult=2.8 |
14.7% | -33.6% | 0.64 | 0.44 | 6.2x | 28 | 37% |
| Donchian 채널 돌파 entryN=87, exitN=75 |
16.0% | -42.5% | 0.61 | 0.38 | 7.2x | 14 | 58% |
| EMA 크로스오버 fast=59, slow=70 |
15.0% | -61.0% | 0.59 | 0.25 | 6.4x | 26 | 56% |
| ADX / DI 방향성 period=32, threshold=24 |
4.8% | -27.2% | 0.37 | 0.18 | 1.9x | 24 | 10% |
| Supertrend period=28, mult=4.8 |
6.6% | -71.4% | 0.36 | 0.09 | 2.3x | 38 | 57% |
| MACD fast=16, slow=24, signal=19 |
4.4% | -68.6% | 0.31 | 0.06 | 1.8x | 166 | 49% |
| 볼린저 밴드 돌파 n=59, k=3 |
3.2% | -47.2% | 0.27 | 0.07 | 1.5x | 18 | 15% |
| Parabolic SAR step=0.01, maxStep=0.06 |
0.2% | -55.9% | 0.20 | 0.00 | 1.0x | 152 | 52% |
| Buy and hold | 4.6% | -88.7% | 0.37 | 0.05 | 1.8x | 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 24-day average price crosses above the 161-day average
- Sell — Sell (to cash) when the 24-day average falls below the 161-day average