Trend-Following Backtester · Guide · backtest 한국어
equity · NL
ArcelorMittal SA backtest
10 trend-following strategies were compared on the full daily history of ArcelorMittal SA. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 1.7%, MDD -29.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.0%, drawdown -96.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.6%, MDD -58.9%, Sharpe 0.55, 53% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 37.2%p (CAGR 1.7%, MDD -29.9%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=46, slow=113 |
12.6% | -58.9% | 0.55 | 0.21 | 12.2x | 43 | 53% |
| EMA 크로스오버 fast=48, slow=78 |
8.3% | -60.6% | 0.42 | 0.14 | 5.3x | 45 | 51% |
| Donchian 채널 돌파 entryN=97, exitN=44 |
7.6% | -63.5% | 0.42 | 0.12 | 4.7x | 37 | 41% |
| Supertrend period=28, mult=5 |
7.5% | -71.2% | 0.40 | 0.11 | 4.6x | 63 | 49% |
| 볼린저 밴드 돌파 n=67, k=2.6 |
5.1% | -47.6% | 0.36 | 0.11 | 2.8x | 40 | 24% |
| ROC 모멘텀 n=78, threshold=0.1 |
5.2% | -57.7% | 0.32 | 0.09 | 2.9x | 229 | 38% |
| ADX / DI 방향성 period=38, threshold=21 |
1.7% | -29.9% | 0.22 | 0.06 | 1.4x | 12 | 4% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=3.4 |
1.1% | -64.8% | 0.15 | 0.02 | 1.3x | 62 | 25% |
| MACD fast=15, slow=49, signal=18 |
-1.4% | -87.9% | 0.12 | -0.02 | 0.7x | 247 | 51% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-2.6% | -94.0% | 0.07 | -0.03 | 0.6x | 293 | 52% |
| Buy and hold | 1.0% | -96.0% | 0.25 | 0.01 | 1.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 46-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 46-day average falls below the 113-day average