Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ferroglobe PLC backtest
10 trend-following strategies were compared on the full daily history of Ferroglobe PLC. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.3%, MDD -24.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.6%, drawdown -98.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 15.3%, MDD -24.9%, Sharpe 0.63, 9% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.9%p higher than buy and hold, while drawdown improves by 73.6%p (CAGR 15.3%, MDD -24.9%, exposure 9%).
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=31, threshold=26 |
15.3% | -24.9% | 0.63 | 0.61 | 11.2x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=23, mult=3.3 |
12.2% | -57.6% | 0.49 | 0.21 | 7.0x | 34 | 26% |
| Donchian 채널 돌파 entryN=106, exitN=50 |
11.9% | -60.2% | 0.48 | 0.20 | 6.7x | 20 | 33% |
| 볼린저 밴드 돌파 n=49, k=3.4 |
10.4% | -36.1% | 0.46 | 0.29 | 5.4x | 16 | 12% |
| EMA 크로스오버 fast=56, slow=98 |
10.8% | -80.9% | 0.44 | 0.13 | 5.7x | 24 | 46% |
| Parabolic SAR step=0.005, maxStep=0.14 |
8.6% | -74.3% | 0.40 | 0.12 | 4.0x | 148 | 50% |
| ROC 모멘텀 n=99, threshold=0 |
8.1% | -80.8% | 0.38 | 0.10 | 3.8x | 162 | 48% |
| SMA 크로스오버 fast=28, slow=158 |
6.8% | -78.0% | 0.35 | 0.09 | 3.1x | 32 | 45% |
| Supertrend period=9, mult=2.8 |
4.4% | -79.6% | 0.31 | 0.06 | 2.1x | 116 | 52% |
| MACD fast=8, slow=29, signal=19 |
-3.7% | -79.8% | 0.12 | -0.05 | 0.5x | 275 | 50% |
| Buy and hold | -4.6% | -98.5% | 0.25 | -0.05 | 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, 31-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)