Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Ingenia Communities Group backtest
10 trend-following strategies were compared on the full daily history of Ingenia Communities Group. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 99% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 11.2%, drawdown -49.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.9%, MDD -53.1%, Sharpe 0.61, 99% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.09 |
13.9% | -53.1% | 0.61 | 0.26 | 6.4x | 25 | 99% |
| ADX / DI 방향성 period=32, threshold=19 |
6.4% | -15.4% | 0.61 | 0.41 | 2.4x | 32 | 17% |
| Supertrend period=9, mult=3.5 |
6.6% | -54.3% | 0.42 | 0.12 | 2.5x | 53 | 62% |
| Donchian 채널 돌파 entryN=18, exitN=53 |
6.9% | -48.8% | 0.40 | 0.14 | 2.6x | 41 | 77% |
| SMA 크로스오버 fast=60, slow=206 |
5.3% | -46.8% | 0.35 | 0.11 | 2.1x | 18 | 61% |
| EMA 크로스오버 fast=66, slow=165 |
4.9% | -46.8% | 0.33 | 0.10 | 2.0x | 16 | 62% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
2.5% | -19.7% | 0.30 | 0.13 | 1.4x | 14 | 13% |
| Parabolic SAR step=0.005, maxStep=0.36 |
3.5% | -37.6% | 0.27 | 0.09 | 1.6x | 111 | 54% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=24, mult=3.3 |
1.0% | -7.2% | 0.27 | 0.13 | 1.1x | 6 | 2% |
| MACD fast=19, slow=48, signal=19 |
-1.4% | -56.9% | 0.02 | -0.02 | 0.8x | 155 | 48% |
| Buy and hold | 11.2% | -49.4% | 0.51 | 0.23 | 4.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than -9%
- Sell — Sell when the 5-day return drops to -9% or below