Trend-Following Backtester · Guide · backtest 한국어
equity · IL
ICL Group Ltd. backtest
10 trend-following strategies were compared on the full daily history of ICL Group Ltd.. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.0%, MDD -52.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.1%, drawdown -99.0%).
Sharpe leader (same as main): Supertrend — CAGR 10.0%, MDD -52.1%, Sharpe 0.57, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 46.9%p (CAGR 10.0%, MDD -52.1%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=4.3 |
10.0% | -52.1% | 0.57 | 0.19 | 9.8x | 76 | 56% |
| ADX / DI 방향성 period=20, threshold=61 |
3.7% | -16.7% | 0.42 | 0.22 | 2.4x | 2 | 4% |
| EMA 크로스오버 fast=17, slow=106 |
-5.8% | -99.1% | 0.41 | -0.06 | 0.2x | 46 | 53% |
| SMA 크로스오버 fast=6, slow=122 |
-6.6% | -99.1% | 0.38 | -0.07 | 0.2x | 62 | 54% |
| Donchian 채널 돌파 entryN=98, exitN=57 |
-8.2% | -99.2% | 0.32 | -0.08 | 0.1x | 24 | 43% |
| ROC 모멘텀 n=113, threshold=-0.04 |
-8.7% | -99.1% | 0.30 | -0.09 | 0.1x | 120 | 62% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
0.8% | -11.9% | 0.25 | 0.07 | 1.2x | 10 | 2% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=1.2 |
-12.7% | -99.4% | 0.13 | -0.13 | 0.0x | 156 | 43% |
| MACD fast=17, slow=55, signal=23 |
-2.0% | -81.4% | 0.02 | -0.02 | 0.6x | 199 | 50% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-18.4% | -99.7% | -0.15 | -0.18 | 0.0x | 135 | 41% |
| Buy and hold | 5.1% | -99.0% | 0.22 | 0.05 | 3.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)