Trend-Following Backtester · Guide · backtest 한국어
equity · US
e.l.f. Beauty, Inc. backtest
10 trend-following strategies were compared on the full daily history of e.l.f. Beauty, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 23.3%, MDD -31.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.2%, drawdown -77.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 26.9%, MDD -34.7%, Sharpe 0.97, 36% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 27.4%, MDD -55.3%, exposure 54%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 23.3%, MDD -31.0%, exposure 42%).
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=19, threshold=19 |
26.9% | -34.7% | 0.97 | 0.78 | 10.7x | 83 | 36% |
| EMA 크로스오버 fast=11, slow=50 |
27.4% | -55.3% | 0.86 | 0.50 | 11.1x | 49 | 54% |
| ROC 모멘텀 n=95, threshold=0.09 |
23.3% | -31.0% | 0.83 | 0.75 | 8.0x | 45 | 42% |
| SMA 크로스오버 fast=7, slow=110 |
24.9% | -44.9% | 0.83 | 0.56 | 9.1x | 33 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=1.8 |
23.4% | -43.1% | 0.82 | 0.54 | 8.1x | 47 | 41% |
| 볼린저 밴드 돌파 n=36, k=1.7 |
21.6% | -37.9% | 0.80 | 0.57 | 7.0x | 63 | 39% |
| Donchian 채널 돌파 entryN=34, exitN=26 |
22.5% | -40.0% | 0.78 | 0.56 | 7.5x | 35 | 49% |
| Supertrend period=28, mult=4.7 |
23.4% | -53.9% | 0.77 | 0.43 | 8.1x | 31 | 54% |
| MACD fast=26, slow=50, signal=12 |
21.1% | -71.4% | 0.71 | 0.30 | 6.7x | 99 | 50% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-0.6% | -83.7% | 0.18 | -0.01 | 0.9x | 209 | 51% |
| Buy and hold | 15.2% | -77.3% | 0.54 | 0.20 | 4.1x | 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, 19-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)