Trend-Following Backtester · Guide · backtest 한국어
equity · US
Century Aluminum Company backtest
10 trend-following strategies were compared on the full daily history of Century Aluminum Company. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.1%, MDD -63.1%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.0%, drawdown -98.7%).
Sharpe leader (same as main): Supertrend — CAGR 13.8%, MDD -80.7%, Sharpe 0.51, 54% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 10.1%, MDD -63.1%, exposure 41%).
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=16, mult=5 |
13.8% | -80.7% | 0.51 | 0.17 | 50.8x | 88 | 54% |
| EMA 크로스오버 fast=23, slow=35 |
12.6% | -74.6% | 0.49 | 0.17 | 36.6x | 134 | 53% |
| SMA 크로스오버 fast=17, slow=120 |
12.4% | -72.9% | 0.48 | 0.17 | 34.3x | 88 | 52% |
| Donchian 채널 돌파 entryN=44, exitN=25 |
10.1% | -63.1% | 0.44 | 0.16 | 18.7x | 102 | 41% |
| ROC 모멘텀 n=74, threshold=0.04 |
10.1% | -68.7% | 0.44 | 0.15 | 18.4x | 314 | 48% |
| 볼린저 밴드 돌파 n=38, k=1.2 |
8.2% | -73.3% | 0.40 | 0.11 | 10.8x | 242 | 41% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=25, mult=2.7 |
7.6% | -67.3% | 0.39 | 0.11 | 9.3x | 124 | 27% |
| Parabolic SAR step=0.035, maxStep=0.14 |
2.7% | -86.9% | 0.30 | 0.03 | 2.2x | 796 | 51% |
| MACD fast=12, slow=32, signal=10 |
0.1% | -91.5% | 0.26 | 0.00 | 1.0x | 515 | 51% |
| ADX / DI 방향성 period=20, threshold=12 |
1.4% | -89.2% | 0.26 | 0.02 | 1.5x | 462 | 47% |
| Buy and hold | 4.0% | -98.7% | 0.42 | 0.04 | 3.3x | 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) — 16-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)