Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ecolab Inc. backtest
10 trend-following strategies were compared on the full daily history of Ecolab Inc.. 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 9.2%, drawdown -68.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.2%, MDD -70.3%, Sharpe 0.36, 69% 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=71, slow=231 |
5.2% | -70.3% | 0.36 | 0.07 | 15.1x | 62 | 69% |
| ROC 모멘텀 n=18, threshold=-0.09 |
5.0% | -76.0% | 0.33 | 0.07 | 13.9x | 335 | 94% |
| Donchian 채널 돌파 entryN=101, exitN=62 |
2.7% | -70.2% | 0.24 | 0.04 | 4.1x | 86 | 55% |
| EMA 크로스오버 fast=48, slow=180 |
2.2% | -79.4% | 0.21 | 0.03 | 3.2x | 85 | 72% |
| ADX / DI 방향성 period=38, threshold=27 |
0.6% | -22.1% | 0.19 | 0.03 | 1.4x | 16 | 3% |
| Supertrend period=21, mult=5 |
1.0% | -70.5% | 0.15 | 0.01 | 1.7x | 195 | 64% |
| 볼린저 밴드 돌파 n=59, k=2.5 |
-0.2% | -50.2% | 0.04 | -0.00 | 0.9x | 148 | 28% |
| MACD fast=28, slow=41, signal=31 |
-1.5% | -75.5% | 0.00 | -0.02 | 0.4x | 449 | 52% |
| Parabolic SAR step=0.02, maxStep=0.06 |
-2.0% | -77.2% | -0.02 | -0.03 | 0.3x | 801 | 57% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=28, mult=2.2 |
-2.1% | -77.1% | -0.07 | -0.03 | 0.3x | 304 | 43% |
| Buy and hold | 9.2% | -68.6% | 0.46 | 0.13 | 110.5x | 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 71-day average price crosses above the 231-day average
- Sell — Sell (to cash) when the 71-day average falls below the 231-day average