Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ecovyst Inc. backtest
10 trend-following strategies were compared on the full daily history of Ecovyst Inc.. 7 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 0.9%, MDD -16.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -4.0%, drawdown -71.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.0%, MDD -33.1%, Sharpe 0.26, 22% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 38.1%p (CAGR 0.9%, MDD -16.9%, exposure 6%).
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=33, threshold=15 |
3.0% | -33.1% | 0.26 | 0.09 | 1.3x | 36 | 22% |
| 볼린저 밴드 돌파 n=52, k=3.4 |
0.9% | -16.9% | 0.16 | 0.05 | 1.1x | 6 | 6% |
| ROC 모멘텀 n=74, threshold=0.13 |
1.2% | -28.7% | 0.15 | 0.04 | 1.1x | 70 | 23% |
| Donchian 채널 돌파 entryN=11, exitN=74 |
-2.8% | -70.3% | 0.09 | -0.04 | 0.8x | 31 | 80% |
| SMA 크로스오버 fast=21, slow=217 |
-0.8% | -44.2% | 0.08 | -0.02 | 0.9x | 13 | 37% |
| EMA 크로스오버 fast=33, slow=202 |
-2.5% | -50.5% | -0.01 | -0.05 | 0.8x | 13 | 37% |
| MACD fast=19, slow=48, signal=19 |
-5.8% | -82.8% | -0.04 | -0.07 | 0.6x | 87 | 49% |
| Supertrend period=23, mult=4.4 |
-5.8% | -69.1% | -0.08 | -0.08 | 0.6x | 32 | 51% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=16, mult=3.7 |
-1.4% | -35.4% | -0.09 | -0.04 | 0.9x | 12 | 10% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-8.0% | -72.5% | -0.13 | -0.11 | 0.5x | 110 | 50% |
| Buy and hold | -4.0% | -71.2% | 0.10 | -0.06 | 0.7x | 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, 33-day) is ≥ 15
- Sell — Sell when direction flips or the trend weakens (ADX < 15)