Trend-Following Backtester · Guide · backtest 한국어
equity · US
Spectrum Brands Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Spectrum Brands Holdings, Inc.. 4 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.6%, MDD -24.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR -1.8%, drawdown -99.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 1.8%, MDD -30.4%, Sharpe 0.24, 5% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 68.9%p (CAGR 0.6%, MDD -24.3%, exposure 1%).
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=46, threshold=29 |
1.8% | -30.4% | 0.24 | 0.06 | 2.3x | 16 | 5% |
| SMA 크로스오버 fast=58, slow=222 |
1.4% | -87.6% | 0.22 | 0.02 | 1.9x | 63 | 50% |
| Donchian 채널 돌파 entryN=9, exitN=78 |
-2.5% | -99.5% | 0.20 | -0.02 | 0.3x | 193 | 82% |
| EMA 크로스오버 fast=21, slow=151 |
-0.7% | -91.8% | 0.16 | -0.01 | 0.7x | 115 | 50% |
| MACD fast=27, slow=44, signal=37 |
-2.3% | -96.2% | 0.14 | -0.02 | 0.3x | 351 | 48% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=7, mult=4 |
0.6% | -24.3% | 0.12 | 0.03 | 1.3x | 14 | 1% |
| Supertrend period=9, mult=3.3 |
-3.9% | -98.2% | 0.12 | -0.04 | 0.2x | 269 | 53% |
| Parabolic SAR step=0.02, maxStep=0.26 |
-7.6% | -99.5% | 0.01 | -0.08 | 0.0x | 869 | 48% |
| 볼린저 밴드 돌파 n=49, k=2.1 |
-4.4% | -96.2% | -0.02 | -0.05 | 0.1x | 209 | 28% |
| ROC 모멘텀 n=149, threshold=-0.04 |
-10.0% | -99.9% | -0.05 | -0.10 | 0.0x | 495 | 57% |
| Buy and hold | -1.8% | -99.3% | 0.26 | -0.02 | 0.4x | 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, 46-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)