Trend-Following Backtester · Guide · backtest 한국어
equity · BE
Solvay SA backtest
10 trend-following strategies were compared on the full daily history of Solvay SA. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 3.2%, MDD -41.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.5%, drawdown -65.9%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.2%, MDD -10.6%, Sharpe 0.35, 6% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 3.2%, MDD -41.4%, exposure 42%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.4%p lower than buy and hold, while drawdown improves by 55.3%p (CAGR 3.2%, MDD -41.4%, 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=13, threshold=40 |
2.2% | -10.6% | 0.35 | 0.20 | 1.7x | 36 | 6% |
| Donchian 채널 돌파 entryN=117, exitN=67 |
3.2% | -41.4% | 0.27 | 0.08 | 2.2x | 34 | 42% |
| 볼린저 밴드 돌파 n=25, k=3.5 |
0.8% | -10.8% | 0.27 | 0.08 | 1.2x | 8 | 2% |
| SMA 크로스오버 fast=37, slow=131 |
2.7% | -41.0% | 0.23 | 0.06 | 1.9x | 62 | 54% |
| Supertrend period=8, mult=4.8 |
0.7% | -38.9% | 0.13 | 0.02 | 1.2x | 86 | 51% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=20, mult=2.6 |
0.7% | -30.0% | 0.12 | 0.02 | 1.2x | 72 | 10% |
| ROC 모멘텀 n=137, threshold=-0.03 |
0.4% | -60.9% | 0.12 | 0.01 | 1.1x | 191 | 62% |
| EMA 크로스오버 fast=47, slow=213 |
0.4% | -53.1% | 0.11 | 0.01 | 1.1x | 36 | 58% |
| MACD fast=19, slow=71, signal=18 |
-2.6% | -70.9% | -0.04 | -0.04 | 0.5x | 263 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.9% | -85.9% | -0.16 | -0.06 | 0.3x | 246 | 53% |
| Buy and hold | 3.5% | -65.9% | 0.26 | 0.05 | 2.4x | 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, 13-day) is ≥ 40
- Sell — Sell when direction flips or the trend weakens (ADX < 40)