Trend-Following Backtester · Guide · backtest 한국어
equity · US
Xerox Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Xerox Holdings Corporation. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.0%, MDD -14.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.7%, drawdown -99.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.5%, MDD -18.4%, Sharpe 0.23, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 80.9%p (CAGR 0.0%, MDD -14.0%, exposure 1%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=15, mult=3.8 |
1.5% | -18.4% | 0.23 | 0.08 | 2.4x | 38 | 3% |
| EMA 크로스오버 fast=38, slow=63 |
1.0% | -82.0% | 0.15 | 0.01 | 1.7x | 145 | 51% |
| SMA 크로스오버 fast=17, slow=147 |
0.0% | -76.0% | 0.11 | 0.00 | 1.0x | 139 | 51% |
| 볼린저 밴드 돌파 n=35, k=3.2 |
0.6% | -38.6% | 0.11 | 0.02 | 1.4x | 46 | 6% |
| ROC 모멘텀 n=85, threshold=-0.15 |
-1.2% | -90.9% | 0.10 | -0.01 | 0.5x | 361 | 81% |
| Donchian 채널 돌파 entryN=63, exitN=79 |
-1.0% | -89.1% | 0.07 | -0.01 | 0.6x | 103 | 54% |
| Supertrend period=18, mult=4.8 |
-2.2% | -93.3% | 0.03 | -0.02 | 0.3x | 201 | 52% |
| ADX / DI 방향성 period=24, threshold=39 |
0.0% | -14.0% | 0.02 | 0.00 | 1.0x | 14 | 1% |
| MACD fast=16, slow=42, signal=16 |
-9.4% | -99.8% | -0.21 | -0.09 | 0.0x | 724 | 51% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-8.8% | -99.8% | -0.21 | -0.09 | 0.0x | 979 | 51% |
| Buy and hold | -4.7% | -99.3% | 0.07 | -0.05 | 0.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 16-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average