Trend-Following Backtester · Guide · backtest 한국어
equity · US
Celanese Corporation backtest
10 trend-following strategies were compared on the full daily history of Celanese Corporation. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 6.0%, MDD -32.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.9%, drawdown -85.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.9%, MDD -35.0%, Sharpe 0.59, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.1%p higher than buy and hold, while drawdown improves by 49.9%p (CAGR 6.0%, MDD -32.7%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=71, k=1.2 |
10.9% | -35.0% | 0.59 | 0.31 | 9.3x | 82 | 48% |
| Supertrend period=12, mult=3.1 |
9.6% | -41.7% | 0.49 | 0.23 | 7.1x | 134 | 57% |
| Donchian 채널 돌파 entryN=41, exitN=29 |
7.8% | -45.4% | 0.45 | 0.17 | 5.0x | 74 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=25, mult=3.2 |
6.0% | -32.7% | 0.42 | 0.18 | 3.5x | 66 | 33% |
| EMA 크로스오버 fast=27, slow=39 |
6.8% | -49.8% | 0.39 | 0.14 | 4.1x | 90 | 59% |
| SMA 크로스오버 fast=38, slow=125 |
6.4% | -45.0% | 0.37 | 0.14 | 3.8x | 50 | 60% |
| ROC 모멘텀 n=87, threshold=-0.04 |
6.3% | -65.8% | 0.36 | 0.10 | 3.7x | 172 | 67% |
| ADX / DI 방향성 period=29, threshold=28 |
1.6% | -27.4% | 0.30 | 0.06 | 1.4x | 14 | 6% |
| MACD fast=17, slow=48, signal=15 |
2.1% | -65.1% | 0.22 | 0.03 | 1.6x | 235 | 53% |
| Parabolic SAR step=0.005, maxStep=0.18 |
1.8% | -61.2% | 0.20 | 0.03 | 1.5x | 196 | 56% |
| Buy and hold | 4.9% | -85.0% | 0.33 | 0.06 | 2.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 71-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 71-day middle average