Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Arkema SA backtest
10 trend-following strategies were compared on the full daily history of Arkema SA. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 5.9%, MDD -52.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.0%, drawdown -80.1%).
Sharpe leader (same as main): Supertrend — CAGR 5.9%, MDD -52.4%, Sharpe 0.37, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 5.9%, MDD -52.4%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=14, mult=4.5 |
5.9% | -52.4% | 0.37 | 0.11 | 3.2x | 69 | 55% |
| 볼린저 밴드 돌파 n=18, k=3.2 |
2.1% | -12.9% | 0.37 | 0.16 | 1.5x | 12 | 3% |
| Donchian 채널 돌파 entryN=76, exitN=60 |
5.2% | -66.2% | 0.35 | 0.08 | 2.8x | 42 | 48% |
| SMA 크로스오버 fast=49, slow=87 |
4.8% | -67.8% | 0.32 | 0.07 | 2.6x | 66 | 56% |
| EMA 크로스오버 fast=34, slow=188 |
2.5% | -59.7% | 0.22 | 0.04 | 1.6x | 37 | 55% |
| ROC 모멘텀 n=117, threshold=-0.04 |
0.7% | -76.3% | 0.14 | 0.01 | 1.1x | 157 | 64% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=14, mult=2.6 |
0.4% | -51.4% | 0.10 | 0.01 | 1.1x | 92 | 25% |
| ADX / DI 방향성 period=30, threshold=24 |
0.4% | -22.0% | 0.09 | 0.02 | 1.1x | 26 | 7% |
| MACD fast=18, slow=56, signal=18 |
-4.5% | -77.2% | -0.07 | -0.06 | 0.4x | 226 | 50% |
| Parabolic SAR step=0.04, maxStep=0.22 |
-10.9% | -93.8% | -0.36 | -0.12 | 0.1x | 666 | 53% |
| Buy and hold | 3.0% | -80.1% | 0.26 | 0.04 | 1.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 14-day volatility, 4.5× band
- Sell — Sell when price drops below the trend line (flips down)