Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Icade SA backtest
10 trend-following strategies were compared on the full daily history of Icade SA. 5 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 2.1%, MDD -15.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR -0.7%, drawdown -87.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.2%, MDD -27.3%, Sharpe 0.37, 10% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 60.2%p (CAGR 2.1%, MDD -15.2%, exposure 3%).
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=57, k=3.5 |
3.2% | -27.3% | 0.37 | 0.12 | 2.3x | 18 | 10% |
| ADX / DI 방향성 period=36, threshold=32 |
2.1% | -15.2% | 0.37 | 0.14 | 1.7x | 8 | 3% |
| SMA 크로스오버 fast=57, slow=270 |
2.6% | -61.7% | 0.23 | 0.04 | 2.0x | 32 | 51% |
| EMA 크로스오버 fast=76, slow=217 |
2.1% | -65.3% | 0.21 | 0.03 | 1.8x | 30 | 52% |
| Donchian 채널 돌파 entryN=38, exitN=39 |
-0.2% | -56.9% | 0.10 | -0.00 | 1.0x | 86 | 52% |
| ROC 모멘텀 n=16, threshold=-0.08 |
-6.7% | -90.2% | -0.10 | -0.07 | 0.2x | 275 | 90% |
| Supertrend period=26, mult=4.6 |
-4.5% | -83.1% | -0.11 | -0.05 | 0.3x | 146 | 53% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=27, mult=4 |
-2.8% | -79.3% | -0.12 | -0.03 | 0.5x | 72 | 17% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-8.8% | -92.2% | -0.28 | -0.10 | 0.1x | 425 | 51% |
| MACD fast=8, slow=41, signal=9 |
-10.9% | -96.7% | -0.35 | -0.11 | 0.0x | 555 | 49% |
| Buy and hold | -0.7% | -87.4% | 0.15 | -0.01 | 0.8x | 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 57-day average (3.5× volatility)
- Sell — Sell when the close falls back to the 57-day middle average