Trend-Following Backtester · Guide · backtest 한국어
equity · US
Energizer Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Energizer Holdings, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.2%, MDD -4.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.2%, drawdown -75.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 0.9%, MDD -6.2%, Sharpe 0.23, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 68.9%p (CAGR 0.2%, MDD -4.4%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=3.2 |
0.9% | -6.2% | 0.23 | 0.14 | 1.1x | 6 | 2% |
| MACD fast=17, slow=51, signal=26 |
-0.2% | -52.6% | 0.12 | -0.00 | 1.0x | 96 | 51% |
| ADX / DI 방향성 period=26, threshold=34 |
0.2% | -4.4% | 0.11 | 0.05 | 1.0x | 2 | 1% |
| Supertrend period=13, mult=3.3 |
-1.5% | -68.3% | 0.05 | -0.02 | 0.8x | 69 | 47% |
| Donchian 채널 돌파 entryN=23, exitN=10 |
-2.0% | -49.3% | 0.01 | -0.04 | 0.8x | 74 | 32% |
| SMA 크로스오버 fast=17, slow=69 |
-2.6% | -61.0% | 0.00 | -0.04 | 0.7x | 51 | 49% |
| ROC 모멘텀 n=48, threshold=0.13 |
-1.6% | -42.5% | -0.05 | -0.04 | 0.8x | 108 | 18% |
| EMA 크로스오버 fast=9, slow=35 |
-4.5% | -69.2% | -0.07 | -0.07 | 0.6x | 79 | 48% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=3.8 |
-2.0% | -45.3% | -0.10 | -0.04 | 0.8x | 18 | 15% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-8.3% | -79.9% | -0.24 | -0.10 | 0.4x | 99 | 45% |
| Buy and hold | -4.2% | -75.1% | 0.06 | -0.06 | 0.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 15-day middle average