Trend-Following Backtester · Guide · backtest 한국어
equity · US
DuPont de Nemours, Inc. backtest
10 trend-following strategies were compared on the full daily history of DuPont de Nemours, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 4.3%, MDD -48.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -88.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.3%, MDD -48.2%, Sharpe 0.31, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.8%p lower than buy and hold, while drawdown improves by 40.6%p (CAGR 4.3%, MDD -48.2%, exposure 58%).
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=69, slow=211 |
4.3% | -48.2% | 0.31 | 0.09 | 9.8x | 69 | 58% |
| Donchian 채널 돌파 entryN=14, exitN=102 |
2.8% | -76.4% | 0.24 | 0.04 | 4.4x | 141 | 85% |
| EMA 크로스오버 fast=71, slow=203 |
1.6% | -55.4% | 0.18 | 0.03 | 2.3x | 71 | 63% |
| Supertrend period=22, mult=5 |
0.5% | -73.6% | 0.13 | 0.01 | 1.3x | 183 | 58% |
| ADX / DI 방향성 period=25, threshold=25 |
0.4% | -40.4% | 0.09 | 0.01 | 1.3x | 84 | 7% |
| 볼린저 밴드 돌파 n=57, k=3.5 |
0.3% | -27.0% | 0.08 | 0.01 | 1.2x | 24 | 5% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=21, mult=3.7 |
-0.6% | -59.9% | -0.03 | -0.01 | 0.7x | 86 | 9% |
| ROC 모멘텀 n=84, threshold=0 |
-2.8% | -92.4% | -0.04 | -0.03 | 0.2x | 673 | 57% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-4.0% | -94.9% | -0.08 | -0.04 | 0.1x | 493 | 54% |
| MACD fast=9, slow=32, signal=18 |
-4.8% | -95.7% | -0.12 | -0.05 | 0.1x | 883 | 50% |
| Buy and hold | 5.1% | -88.8% | 0.32 | 0.06 | 14.9x | 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 69-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 69-day average falls below the 211-day average