Trend-Following Backtester · Guide · backtest 한국어
equity · US
Estee Lauder Companies, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Estee Lauder Companies, Inc. (The). 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.9%, MDD -50.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.7%, drawdown -86.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.9%, MDD -50.0%, Sharpe 0.48, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 36.5%p (CAGR 8.9%, MDD -50.0%, exposure 63%).
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=51, slow=375 |
8.9% | -50.0% | 0.48 | 0.18 | 13.6x | 20 | 63% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.15 |
7.8% | -85.9% | 0.40 | 0.09 | 10.2x | 13 | 100% |
| Donchian 채널 돌파 entryN=10, exitN=58 |
6.3% | -77.1% | 0.36 | 0.08 | 6.6x | 99 | 85% |
| EMA 크로스오버 fast=49, slow=269 |
5.7% | -55.4% | 0.35 | 0.10 | 5.5x | 28 | 64% |
| ADX / DI 방향성 period=28, threshold=32 |
1.1% | -13.4% | 0.25 | 0.08 | 1.4x | 14 | 4% |
| Supertrend period=20, mult=3.8 |
2.0% | -56.8% | 0.20 | 0.04 | 1.9x | 151 | 59% |
| 볼린저 밴드 돌파 n=66, k=2.3 |
1.8% | -54.5% | 0.19 | 0.03 | 1.7x | 90 | 37% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=22, mult=4 |
1.2% | -50.0% | 0.16 | 0.02 | 1.4x | 54 | 17% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-0.7% | -66.4% | 0.08 | -0.01 | 0.8x | 254 | 57% |
| MACD fast=10, slow=41, signal=18 |
-2.3% | -83.1% | -0.00 | -0.03 | 0.5x | 445 | 49% |
| Buy and hold | 7.7% | -86.5% | 0.39 | 0.09 | 9.7x | 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 51-day average price crosses above the 375-day average
- Sell — Sell (to cash) when the 51-day average falls below the 375-day average