Trend-Following Backtester · Guide · backtest 한국어
equity · US
Newell Brands Inc. backtest
10 trend-following strategies were compared on the full daily history of Newell Brands Inc.. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 7.9%, MDD -55.7%).
Results by strategy
3 of 10 beat buy and hold (CAGR 5.2%, drawdown -94.3%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 7.9%, MDD -55.7%, Sharpe 0.46, 57% exposure.
CAGR reference leader: Supertrend — CAGR 8.4%, MDD -78.9%, exposure 56%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 7.9%, MDD -55.7%, exposure 57%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=109 |
7.9% | -55.7% | 0.46 | 0.14 | 34.7x | 67 | 57% |
| Supertrend period=16, mult=4.2 |
8.4% | -78.9% | 0.45 | 0.11 | 41.2x | 185 | 56% |
| SMA 크로스오버 fast=39, slow=200 |
6.6% | -58.9% | 0.40 | 0.11 | 19.4x | 59 | 56% |
| ADX / DI 방향성 period=32, threshold=33 |
1.8% | -11.8% | 0.39 | 0.15 | 2.3x | 8 | 1% |
| 볼린저 밴드 돌파 n=71, k=2.6 |
4.6% | -50.6% | 0.37 | 0.09 | 8.2x | 101 | 30% |
| Donchian 채널 돌파 entryN=119, exitN=54 |
4.4% | -54.7% | 0.32 | 0.08 | 7.5x | 79 | 43% |
| ROC 모멘텀 n=123, threshold=0.01 |
3.3% | -82.7% | 0.26 | 0.04 | 4.6x | 365 | 56% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=2.3 |
2.4% | -73.3% | 0.22 | 0.03 | 3.0x | 223 | 40% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.0% | -94.9% | 0.09 | -0.01 | 0.6x | 394 | 53% |
| MACD fast=24, slow=56, signal=29 |
-2.7% | -96.3% | 0.01 | -0.03 | 0.3x | 392 | 50% |
| Buy and hold | 5.2% | -94.3% | 0.32 | 0.06 | 10.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 109-day EMA
- Sell — Sell when the 55-day EMA falls below the 109-day EMA