Trend-Following Backtester · Guide · backtest 한국어
equity · CA
IGM Financial Inc. backtest
10 trend-following strategies were compared on the full daily history of IGM Financial Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 6.1%, MDD -40.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -62.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.1%, MDD -43.4%, Sharpe 0.43, 59% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 6.1%, MDD -40.5%, exposure 60%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 19.3%p (CAGR 6.1%, MDD -40.5%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=9, slow=240 |
6.1% | -43.4% | 0.43 | 0.14 | 6.4x | 67 | 59% |
| EMA 크로스오버 fast=22, slow=185 |
6.1% | -40.5% | 0.43 | 0.15 | 6.4x | 57 | 60% |
| Donchian 채널 돌파 entryN=108, exitN=47 |
4.4% | -37.8% | 0.37 | 0.12 | 3.8x | 55 | 44% |
| Supertrend period=27, mult=4.7 |
3.6% | -46.5% | 0.29 | 0.08 | 3.1x | 105 | 58% |
| ROC 모멘텀 n=131, threshold=-0.01 |
3.0% | -64.2% | 0.25 | 0.05 | 2.5x | 211 | 62% |
| ADX / DI 방향성 period=38, threshold=34 |
0.7% | -11.3% | 0.25 | 0.07 | 1.3x | 6 | 1% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
2.3% | -51.3% | 0.23 | 0.05 | 2.1x | 147 | 41% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=14, mult=3.9 |
1.8% | -56.3% | 0.21 | 0.03 | 1.7x | 73 | 26% |
| MACD fast=27, slow=45, signal=36 |
2.0% | -63.3% | 0.20 | 0.03 | 1.9x | 238 | 51% |
| Parabolic SAR step=0.005, maxStep=0.42 |
-0.4% | -69.4% | 0.06 | -0.01 | 0.9x | 265 | 55% |
| Buy and hold | 7.6% | -62.8% | 0.41 | 0.12 | 10.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 9-day average price crosses above the 240-day average
- Sell — Sell (to cash) when the 9-day average falls below the 240-day average