Trend-Following Backtester · Guide · backtest 한국어
equity · GB
IntegraFin Holdings PLC backtest
10 trend-following strategies were compared on the full daily history of IntegraFin Holdings PLC. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 12.6%, MDD -29.7%).
Results by strategy
5 of 10 beat buy and hold (CAGR 5.4%, drawdown -65.6%).
Sharpe leader (same as main): MACD — CAGR 12.6%, MDD -29.7%, Sharpe 0.64, 52% exposure.
Return/drawdown alternative: MACD — CAGR is 7.2%p higher than buy and hold, while drawdown improves by 35.8%p (CAGR 12.6%, MDD -29.7%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=20, slow=23, signal=17 |
12.6% | -29.7% | 0.64 | 0.42 | 2.7x | 95 | 52% |
| Supertrend period=18, mult=2.2 |
10.8% | -33.6% | 0.57 | 0.32 | 2.4x | 63 | 56% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=29, mult=1.6 |
6.7% | -33.9% | 0.46 | 0.20 | 1.7x | 45 | 35% |
| 볼린저 밴드 돌파 n=22, k=2.5 |
4.6% | -24.0% | 0.40 | 0.19 | 1.5x | 42 | 20% |
| EMA 크로스오버 fast=29, slow=212 |
6.0% | -31.4% | 0.38 | 0.19 | 1.6x | 7 | 59% |
| Donchian 채널 돌파 entryN=19, exitN=13 |
5.8% | -42.0% | 0.38 | 0.14 | 1.6x | 51 | 47% |
| ADX / DI 방향성 period=13, threshold=24 |
4.8% | -30.3% | 0.37 | 0.16 | 1.5x | 74 | 29% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.3% | -44.3% | 0.34 | 0.12 | 1.5x | 161 | 52% |
| SMA 크로스오버 fast=46, slow=202 |
4.3% | -35.2% | 0.30 | 0.12 | 1.4x | 11 | 58% |
| ROC 모멘텀 n=18, threshold=0.04 |
3.8% | -32.1% | 0.30 | 0.12 | 1.4x | 169 | 33% |
| Buy and hold | 5.4% | -65.6% | 0.32 | 0.08 | 1.6x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (20/23) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line