Trend-Following Backtester · Guide · backtest 한국어
equity · US
Edgewell Personal Care Company backtest
10 trend-following strategies were compared on the full daily history of Edgewell Personal Care Company. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 2.9%, MDD -49.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.7%, drawdown -85.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -63.0%, Sharpe 0.29, 53% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 22.1%p (CAGR 2.9%, MDD -49.3%, exposure 51%).
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=65, slow=167 |
4.0% | -63.0% | 0.29 | 0.06 | 2.8x | 41 | 53% |
| EMA 크로스오버 fast=59, slow=282 |
2.9% | -49.3% | 0.24 | 0.06 | 2.1x | 29 | 51% |
| ADX / DI 방향성 period=39, threshold=16 |
1.2% | -33.6% | 0.16 | 0.03 | 1.4x | 91 | 24% |
| 볼린저 밴드 돌파 n=10, k=2.8 |
0.5% | -19.9% | 0.14 | 0.02 | 1.1x | 28 | 3% |
| ROC 모멘텀 n=123, threshold=-0.12 |
-0.2% | -89.9% | 0.13 | -0.00 | 0.9x | 145 | 75% |
| Supertrend period=26, mult=4.4 |
0.3% | -84.7% | 0.12 | 0.00 | 1.1x | 105 | 54% |
| Donchian 채널 돌파 entryN=25, exitN=83 |
-0.4% | -80.2% | 0.12 | -0.01 | 0.9x | 63 | 74% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=17, mult=2.3 |
0.6% | -33.8% | 0.11 | 0.02 | 1.2x | 100 | 13% |
| MACD fast=15, slow=39, signal=19 |
-1.4% | -84.8% | 0.05 | -0.02 | 0.7x | 318 | 50% |
| Parabolic SAR step=0.01, maxStep=0.24 |
-1.9% | -79.4% | 0.04 | -0.02 | 0.6x | 348 | 51% |
| Buy and hold | 1.7% | -85.2% | 0.22 | 0.02 | 1.6x | 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 65-day average price crosses above the 167-day average
- Sell — Sell (to cash) when the 65-day average falls below the 167-day average