Trend-Following Backtester · Guide · backtest 한국어
equity · US
e.l.f. Beauty, Inc. backtest
10 trend-following strategies were compared on the full daily history of e.l.f. Beauty, Inc.. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 20.1%, MDD -31.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 12.2%, drawdown -77.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 23.7%, MDD -34.7%, Sharpe 0.89, 35% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 24.2%, MDD -55.3%, exposure 54%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.5%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 20.1%, MDD -31.0%, exposure 41%).
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=19 |
23.7% | -34.7% | 0.89 | 0.68 | 8.1x | 83 | 35% |
| EMA 크로스오버 fast=11, slow=50 |
24.2% | -55.3% | 0.79 | 0.44 | 8.4x | 49 | 54% |
| SMA 크로스오버 fast=7, slow=110 |
21.7% | -44.9% | 0.75 | 0.48 | 6.9x | 33 | 50% |
| ROC 모멘텀 n=95, threshold=0.09 |
20.1% | -31.0% | 0.75 | 0.65 | 6.1x | 45 | 41% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=1.8 |
20.2% | -43.1% | 0.74 | 0.47 | 6.1x | 47 | 41% |
| 볼린저 밴드 돌파 n=36, k=1.7 |
18.5% | -37.9% | 0.72 | 0.49 | 5.3x | 63 | 38% |
| Supertrend period=28, mult=4.7 |
20.2% | -53.9% | 0.70 | 0.38 | 6.1x | 31 | 53% |
| Donchian 채널 돌파 entryN=34, exitN=26 |
19.3% | -40.0% | 0.70 | 0.48 | 5.7x | 35 | 49% |
| MACD fast=26, slow=50, signal=12 |
17.9% | -71.4% | 0.64 | 0.25 | 5.1x | 99 | 49% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-2.4% | -83.7% | 0.13 | -0.03 | 0.8x | 207 | 51% |
| Buy and hold | 12.2% | -77.3% | 0.49 | 0.16 | 3.1x | 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 ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)