Trend-Following Backtester · Guide · backtest 한국어
equity · US
Huntsman Corporation backtest
10 trend-following strategies were compared on the full daily history of Huntsman Corporation. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.4%, MDD -44.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.2%, drawdown -92.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.0%, MDD -47.9%, Sharpe 0.52, 53% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 15.2%p higher than buy and hold, while drawdown improves by 44.8%p (CAGR 7.4%, MDD -44.5%, exposure 41%).
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=49, slow=87 |
11.0% | -47.9% | 0.52 | 0.23 | 9.3x | 54 | 53% |
| Donchian 채널 돌파 entryN=30, exitN=68 |
10.2% | -59.8% | 0.46 | 0.17 | 8.0x | 41 | 68% |
| ROC 모멘텀 n=73, threshold=0.06 |
7.4% | -44.5% | 0.41 | 0.17 | 4.6x | 230 | 41% |
| EMA 크로스오버 fast=27, slow=61 |
7.4% | -51.5% | 0.40 | 0.14 | 4.6x | 60 | 52% |
| ADX / DI 방향성 period=38, threshold=13 |
5.3% | -46.5% | 0.35 | 0.12 | 3.1x | 98 | 31% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=27, mult=1.8 |
5.1% | -54.5% | 0.33 | 0.09 | 2.9x | 106 | 39% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
3.5% | -65.9% | 0.26 | 0.05 | 2.1x | 126 | 43% |
| Supertrend period=9, mult=3.5 |
-0.6% | -70.9% | 0.13 | -0.01 | 0.9x | 117 | 54% |
| Parabolic SAR step=0.01, maxStep=0.18 |
-2.5% | -78.1% | 0.07 | -0.03 | 0.6x | 297 | 54% |
| MACD fast=14, slow=25, signal=17 |
-7.6% | -95.9% | -0.09 | -0.08 | 0.2x | 315 | 51% |
| Buy and hold | -4.2% | -92.6% | 0.16 | -0.05 | 0.4x | 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 49-day average price crosses above the 87-day average
- Sell — Sell (to cash) when the 49-day average falls below the 87-day average