Trend-Following Backtester · Guide · backtest 한국어
equity · US
Chemours Company (The) backtest
10 trend-following strategies were compared on the full daily history of Chemours Company (The). 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.7%, MDD -38.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.1%, drawdown -87.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.7%, MDD -38.5%, Sharpe 0.78, 30% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 21.7%p higher than buy and hold, while drawdown improves by 48.9%p (CAGR 19.7%, MDD -38.5%, exposure 30%).
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=38, atrPeriod=11, mult=2.2 |
19.7% | -38.5% | 0.78 | 0.51 | 7.4x | 44 | 30% |
| ROC 모멘텀 n=45, threshold=0.1 |
18.9% | -67.0% | 0.70 | 0.28 | 6.9x | 112 | 37% |
| Donchian 채널 돌파 entryN=85, exitN=14 |
13.8% | -43.1% | 0.67 | 0.32 | 4.2x | 28 | 23% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
16.3% | -55.9% | 0.63 | 0.29 | 5.4x | 72 | 40% |
| Supertrend period=9, mult=2 |
18.5% | -55.6% | 0.63 | 0.33 | 6.6x | 122 | 53% |
| SMA 크로스오버 fast=11, slow=70 |
15.4% | -69.9% | 0.58 | 0.22 | 4.9x | 46 | 50% |
| EMA 크로스오버 fast=18, slow=117 |
12.3% | -73.6% | 0.51 | 0.17 | 3.6x | 34 | 49% |
| ADX / DI 방향성 period=12, threshold=15 |
8.6% | -72.7% | 0.41 | 0.12 | 2.5x | 238 | 46% |
| MACD fast=10, slow=53, signal=15 |
5.1% | -66.6% | 0.33 | 0.08 | 1.7x | 160 | 53% |
| Parabolic SAR step=0.01, maxStep=0.28 |
3.7% | -75.3% | 0.29 | 0.05 | 1.5x | 154 | 53% |
| Buy and hold | -2.1% | -87.3% | 0.27 | -0.02 | 0.8x | 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 38-day average + 2.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-day average