Trend-Following Backtester · Guide · backtest 한국어
equity · CH
Clariant AG backtest
10 trend-following strategies were compared on the full daily history of Clariant AG. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 0.8%, MDD -5.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.7%, drawdown -96.4%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.9%, MDD -29.7%, Sharpe 0.41, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 4.7%, MDD -69.6%, exposure 57%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 66.7%p (CAGR 0.8%, MDD -5.5%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=45, threshold=21 |
2.9% | -29.7% | 0.41 | 0.10 | 2.4x | 26 | 7% |
| Donchian 채널 돌파 entryN=36, exitN=53 |
4.7% | -69.6% | 0.31 | 0.07 | 4.1x | 81 | 57% |
| 볼린저 밴드 돌파 n=16, k=3.5 |
0.8% | -5.5% | 0.29 | 0.15 | 1.3x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=27, mult=3.1 |
2.6% | -36.4% | 0.26 | 0.07 | 2.2x | 89 | 18% |
| ROC 모멘텀 n=117, threshold=0.06 |
2.3% | -66.2% | 0.21 | 0.03 | 2.0x | 214 | 36% |
| SMA 크로스오버 fast=9, slow=77 |
1.8% | -69.7% | 0.19 | 0.03 | 1.7x | 158 | 50% |
| EMA 크로스오버 fast=18, slow=46 |
1.7% | -72.8% | 0.18 | 0.02 | 1.7x | 157 | 50% |
| Supertrend period=20, mult=3.3 |
0.5% | -75.1% | 0.13 | 0.01 | 1.2x | 193 | 51% |
| MACD fast=21, slow=37, signal=19 |
-1.2% | -81.5% | 0.07 | -0.01 | 0.7x | 333 | 52% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-4.4% | -88.5% | -0.06 | -0.05 | 0.3x | 647 | 52% |
| Buy and hold | -2.7% | -96.4% | 0.10 | -0.03 | 0.4x | 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, 45-day) is ≥ 21
- Sell — Sell when direction flips or the trend weakens (ADX < 21)