Trend-Following Backtester · Guide · backtest 한국어
equity · US
Solid Power, Inc. backtest
10 trend-following strategies were compared on the full daily history of Solid Power, Inc.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.6%, MDD -39.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.3%, drawdown -93.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.1%, MDD -50.1%, Sharpe 0.65, 21% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 50.3%p higher than buy and hold, while drawdown improves by 43.4%p (CAGR 17.6%, MDD -39.3%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=123, threshold=0.11 |
24.1% | -50.1% | 0.65 | 0.48 | 3.1x | 18 | 21% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=3.5 |
17.6% | -39.3% | 0.56 | 0.45 | 2.3x | 10 | 12% |
| 볼린저 밴드 돌파 n=42, k=3.2 |
16.2% | -44.3% | 0.53 | 0.37 | 2.2x | 10 | 15% |
| Supertrend period=29, mult=4.6 |
11.0% | -71.8% | 0.46 | 0.15 | 1.7x | 14 | 37% |
| EMA 크로스오버 fast=53, slow=193 |
11.8% | -63.3% | 0.45 | 0.19 | 1.8x | 2 | 14% |
| SMA 크로스오버 fast=26, slow=215 |
9.9% | -61.1% | 0.42 | 0.16 | 1.6x | 6 | 21% |
| MACD fast=14, slow=49, signal=9 |
6.4% | -65.8% | 0.40 | 0.10 | 1.4x | 68 | 48% |
| ADX / DI 방향성 period=23, threshold=24 |
7.6% | -49.7% | 0.38 | 0.15 | 1.5x | 12 | 16% |
| Donchian 채널 돌파 entryN=49, exitN=21 |
-0.0% | -66.9% | 0.25 | -0.00 | 1.0x | 16 | 22% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-9.0% | -83.8% | 0.15 | -0.11 | 0.6x | 134 | 40% |
| Buy and hold | -26.3% | -93.5% | 0.06 | -0.28 | 0.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 123-day return is greater than 11%
- Sell — Sell when the 123-day return drops to 11% or below