Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xylem Inc. backtest
10 trend-following strategies were compared on the full daily history of Xylem Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.7%, drawdown -47.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.1%, MDD -26.9%, Sharpe 0.54, 24% exposure.
CAGR reference leader: Supertrend — CAGR 6.7%, MDD -30.5%, exposure 57%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=30, threshold=19 |
5.1% | -26.9% | 0.54 | 0.19 | 2.1x | 34 | 24% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=11, mult=2.6 |
6.3% | -22.6% | 0.50 | 0.28 | 2.5x | 54 | 42% |
| Supertrend period=20, mult=4 |
6.7% | -30.5% | 0.46 | 0.22 | 2.6x | 64 | 57% |
| SMA 크로스오버 fast=37, slow=150 |
6.2% | -45.3% | 0.41 | 0.14 | 2.4x | 34 | 57% |
| Donchian 채널 돌파 entryN=12, exitN=29 |
6.5% | -31.8% | 0.41 | 0.20 | 2.5x | 80 | 74% |
| EMA 크로스오버 fast=13, slow=31 |
4.4% | -43.0% | 0.33 | 0.10 | 1.9x | 98 | 61% |
| 볼린저 밴드 돌파 n=54, k=1.8 |
3.6% | -28.9% | 0.33 | 0.13 | 1.7x | 62 | 41% |
| ROC 모멘텀 n=121, threshold=0.13 |
3.3% | -29.9% | 0.32 | 0.11 | 1.6x | 100 | 32% |
| Parabolic SAR step=0.005, maxStep=0.06 |
1.7% | -43.6% | 0.18 | 0.04 | 1.3x | 128 | 57% |
| MACD fast=16, slow=49, signal=19 |
-0.2% | -44.4% | 0.08 | -0.00 | 1.0x | 170 | 52% |
| Buy and hold | 10.7% | -47.2% | 0.52 | 0.23 | 4.5x | 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, 30-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)