Trend-Following Backtester · Guide · backtest 한국어
equity · US
Element Solutions Inc. backtest
10 trend-following strategies were compared on the full daily history of Element Solutions Inc.. 1 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.4%, MDD -14.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.1%, drawdown -80.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.4%, MDD -14.9%, Sharpe 0.86, 7% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 9.2%, MDD -45.6%, exposure 56%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 65.8%p (CAGR 7.4%, MDD -14.9%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=15, k=2.9 |
7.4% | -14.9% | 0.86 | 0.50 | 2.5x | 22 | 7% |
| ADX / DI 방향성 period=29, threshold=39 |
3.4% | -15.1% | 0.60 | 0.22 | 1.5x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=3 |
3.7% | -12.4% | 0.55 | 0.30 | 1.6x | 14 | 4% |
| ROC 모멘텀 n=58, threshold=0.14 |
8.2% | -34.3% | 0.52 | 0.24 | 2.7x | 106 | 25% |
| EMA 크로스오버 fast=53, slow=78 |
9.2% | -45.6% | 0.47 | 0.20 | 3.1x | 21 | 56% |
| Donchian 채널 돌파 entryN=52, exitN=53 |
6.3% | -52.8% | 0.36 | 0.12 | 2.2x | 30 | 57% |
| SMA 크로스오버 fast=20, slow=72 |
6.2% | -62.1% | 0.36 | 0.10 | 2.2x | 58 | 56% |
| Supertrend period=16, mult=5 |
6.0% | -54.5% | 0.36 | 0.11 | 2.1x | 44 | 54% |
| Parabolic SAR step=0.005, maxStep=0.08 |
1.6% | -67.9% | 0.19 | 0.02 | 1.2x | 106 | 52% |
| MACD fast=12, slow=57, signal=18 |
1.3% | -60.0% | 0.18 | 0.02 | 1.2x | 156 | 48% |
| Buy and hold | 9.1% | -80.7% | 0.42 | 0.11 | 3.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 15-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 15-day middle average