Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clearwater Paper Corporation backtest
10 trend-following strategies were compared on the full daily history of Clearwater Paper Corporation. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.5%, MDD -14.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 3.6%, drawdown -83.5%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.5%, MDD -14.9%, Sharpe 0.50, 3% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 4.7%, MDD -41.6%, exposure 15%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 68.5%p (CAGR 3.5%, MDD -14.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=34 |
3.5% | -14.9% | 0.50 | 0.23 | 1.8x | 6 | 3% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=23, mult=2.6 |
4.7% | -41.6% | 0.33 | 0.11 | 2.2x | 61 | 15% |
| Supertrend period=16, mult=4.6 |
4.0% | -82.8% | 0.29 | 0.05 | 2.0x | 65 | 49% |
| Donchian 채널 돌파 entryN=89, exitN=73 |
4.2% | -74.7% | 0.29 | 0.06 | 2.0x | 27 | 49% |
| 볼린저 밴드 돌파 n=56, k=3.1 |
3.8% | -41.9% | 0.28 | 0.09 | 1.9x | 29 | 15% |
| EMA 크로스오버 fast=49, slow=137 |
2.9% | -74.0% | 0.25 | 0.04 | 1.6x | 26 | 50% |
| MACD fast=13, slow=56, signal=18 |
2.5% | -84.0% | 0.25 | 0.03 | 1.5x | 205 | 52% |
| SMA 크로스오버 fast=77, slow=95 |
2.0% | -83.3% | 0.23 | 0.02 | 1.4x | 77 | 51% |
| ROC 모멘텀 n=124, threshold=0 |
1.0% | -78.2% | 0.20 | 0.01 | 1.2x | 137 | 50% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-5.4% | -95.6% | 0.03 | -0.06 | 0.4x | 361 | 53% |
| Buy and hold | 3.6% | -83.5% | 0.33 | 0.04 | 1.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)