Trend-Following Backtester · Guide · backtest 한국어
equity · US
Clorox Company (The) backtest
10 trend-following strategies were compared on the full daily history of Clorox Company (The). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -87.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -62.9%, Sharpe 0.23, 63% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=9, slow=191 |
2.6% | -62.9% | 0.23 | 0.04 | 4.0x | 168 | 63% |
| Donchian 채널 돌파 entryN=49, exitN=103 |
2.3% | -78.2% | 0.21 | 0.03 | 3.4x | 86 | 75% |
| EMA 크로스오버 fast=58, slow=151 |
1.9% | -75.6% | 0.20 | 0.03 | 2.8x | 88 | 65% |
| ROC 모멘텀 n=159, threshold=-0.03 |
1.4% | -76.1% | 0.17 | 0.02 | 2.1x | 400 | 70% |
| MACD fast=24, slow=63, signal=21 |
0.1% | -62.8% | 0.10 | 0.00 | 1.0x | 455 | 51% |
| Supertrend period=21, mult=4.4 |
-0.1% | -63.5% | 0.09 | -0.00 | 0.9x | 216 | 58% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.5% | -69.9% | 0.01 | -0.02 | 0.4x | 435 | 52% |
| 볼린저 밴드 돌파 n=37, k=1.1 |
-2.3% | -77.1% | -0.04 | -0.03 | 0.3x | 507 | 46% |
| ADX / DI 방향성 period=32, threshold=28 |
-0.4% | -28.8% | -0.05 | -0.01 | 0.8x | 40 | 5% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=25, mult=3.9 |
-2.5% | -77.0% | -0.21 | -0.03 | 0.3x | 126 | 15% |
| Buy and hold | 5.5% | -87.4% | 0.33 | 0.06 | 17.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 9-day average price crosses above the 191-day average
- Sell — Sell (to cash) when the 9-day average falls below the 191-day average