Trend-Following Backtester · Guide · backtest 한국어
equity · US
Coty Inc. backtest
10 trend-following strategies were compared on the full daily history of Coty Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.6%, MDD -17.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -12.8%, drawdown -94.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 5.7%, MDD -26.1%, Sharpe 0.46, 16% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 8.3%, MDD -44.9%, exposure 31%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.5%p higher than buy and hold, while drawdown improves by 68.2%p (CAGR 4.6%, MDD -17.1%, exposure 4%).
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=19, threshold=26 |
5.7% | -26.1% | 0.46 | 0.22 | 2.1x | 50 | 16% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=21, mult=1.9 |
8.3% | -44.9% | 0.46 | 0.18 | 2.9x | 45 | 31% |
| 볼린저 밴드 돌파 n=15, k=3.1 |
4.6% | -17.1% | 0.45 | 0.27 | 1.8x | 16 | 4% |
| ROC 모멘텀 n=73, threshold=0.11 |
2.6% | -49.7% | 0.22 | 0.05 | 1.4x | 91 | 26% |
| SMA 크로스오버 fast=6, slow=101 |
1.8% | -61.1% | 0.20 | 0.03 | 1.3x | 55 | 40% |
| EMA 크로스오버 fast=12, slow=85 |
1.4% | -63.2% | 0.18 | 0.02 | 1.2x | 45 | 40% |
| Donchian 채널 돌파 entryN=62, exitN=48 |
1.5% | -53.0% | 0.18 | 0.03 | 1.2x | 27 | 35% |
| Supertrend period=8, mult=4 |
-0.4% | -70.8% | 0.14 | -0.01 | 0.9x | 53 | 46% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-9.7% | -87.5% | -0.13 | -0.11 | 0.3x | 174 | 47% |
| MACD fast=12, slow=22, signal=10 |
-10.9% | -91.8% | -0.13 | -0.12 | 0.2x | 256 | 49% |
| Buy and hold | -12.8% | -94.3% | -0.02 | -0.14 | 0.2x | 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, 19-day) is ≥ 26
- Sell — Sell when direction flips or the trend weakens (ADX < 26)