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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -25.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.1%, drawdown -96.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.1%, MDD -42.5%, Sharpe 0.44, 21% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 53.9%p (CAGR 2.9%, MDD -25.0%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=187, exitN=42 |
5.1% | -42.5% | 0.44 | 0.12 | 4.5x | 27 | 21% |
| Keltner 채널 돌파 emaPeriod=61, atrPeriod=21, mult=3.8 |
4.8% | -31.2% | 0.40 | 0.15 | 4.2x | 59 | 23% |
| ADX / DI 방향성 period=58, threshold=18 |
2.9% | -25.0% | 0.40 | 0.12 | 2.4x | 10 | 7% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
2.4% | -26.8% | 0.29 | 0.09 | 2.0x | 19 | 9% |
| EMA 크로스오버 fast=27, slow=52 |
2.7% | -74.0% | 0.23 | 0.04 | 2.2x | 115 | 51% |
| Supertrend period=28, mult=3.4 |
2.6% | -67.5% | 0.23 | 0.04 | 2.2x | 181 | 52% |
| ROC 모멘텀 n=115, threshold=0.07 |
2.4% | -66.0% | 0.22 | 0.04 | 2.0x | 209 | 35% |
| SMA 크로스오버 fast=16, slow=107 |
2.2% | -73.8% | 0.21 | 0.03 | 2.0x | 101 | 50% |
| MACD fast=18, slow=24, signal=19 |
-0.8% | -79.1% | 0.09 | -0.01 | 0.8x | 384 | 52% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-3.2% | -87.1% | -0.02 | -0.04 | 0.4x | 603 | 52% |
| Buy and hold | -2.1% | -96.4% | 0.12 | -0.02 | 0.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 187 days
- Sell — Sell when price breaks below the lowest low of the last 42 days