Trend-Following Backtester · Guide · backtest 한국어
equity · US
Tronox Holdings plc backtest
10 trend-following strategies were compared on the full daily history of Tronox Holdings plc. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.5%, MDD -2.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.3%, drawdown -92.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.4%, MDD -44.5%, Sharpe 0.61, 37% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 21.7%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 0.5%, MDD -2.0%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=37, k=1.5 |
15.4% | -44.5% | 0.61 | 0.35 | 9.5x | 92 | 37% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=14, mult=2.4 |
12.6% | -34.9% | 0.58 | 0.36 | 6.4x | 64 | 26% |
| EMA 크로스오버 fast=30, slow=43 |
12.4% | -53.8% | 0.51 | 0.23 | 6.2x | 48 | 47% |
| Donchian 채널 돌파 entryN=29, exitN=33 |
11.6% | -63.5% | 0.48 | 0.18 | 5.6x | 54 | 48% |
| SMA 크로스오버 fast=24, slow=104 |
9.2% | -63.4% | 0.43 | 0.15 | 4.0x | 40 | 45% |
| Supertrend period=21, mult=2.3 |
9.5% | -67.2% | 0.42 | 0.14 | 4.2x | 146 | 48% |
| ADX / DI 방향성 period=39, threshold=37 |
0.5% | -2.0% | 0.39 | 0.23 | 1.1x | 2 | 1% |
| ROC 모멘텀 n=51, threshold=0.07 |
4.5% | -53.7% | 0.30 | 0.08 | 2.0x | 198 | 38% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-0.2% | -79.9% | 0.19 | -0.00 | 1.0x | 344 | 51% |
| MACD fast=20, slow=45, signal=24 |
-1.6% | -87.0% | 0.19 | -0.02 | 0.8x | 139 | 51% |
| Buy and hold | -6.3% | -92.4% | 0.21 | -0.07 | 0.4x | 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 37-day average (1.5× volatility)
- Sell — Sell when the close falls back to the 37-day middle average