Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Intellect Design Arena Ltd backtest
10 trend-following strategies were compared on the full daily history of Intellect Design Arena Ltd. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 27.2%, MDD -26.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 20.5%, drawdown -84.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 27.2%, MDD -26.4%, Sharpe 1.13, 21% exposure.
CAGR reference leader: Supertrend — CAGR 34.4%, MDD -47.1%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 57.8%p (CAGR 27.2%, MDD -26.4%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=5, mult=3.2 |
27.2% | -26.4% | 1.13 | 1.03 | 17.0x | 16 | 21% |
| Supertrend period=14, mult=2.1 |
34.4% | -47.1% | 1.02 | 0.73 | 32.7x | 104 | 47% |
| 볼린저 밴드 돌파 n=34, k=1.4 |
27.4% | -37.7% | 0.93 | 0.73 | 17.3x | 74 | 39% |
| ADX / DI 방향성 period=26, threshold=28 |
18.0% | -20.4% | 0.87 | 0.88 | 7.0x | 22 | 19% |
| ROC 모멘텀 n=125, threshold=0.05 |
26.3% | -53.6% | 0.85 | 0.49 | 15.6x | 70 | 49% |
| Donchian 채널 돌파 entryN=62, exitN=74 |
25.5% | -43.1% | 0.82 | 0.59 | 14.6x | 14 | 53% |
| SMA 크로스오버 fast=9, slow=153 |
24.3% | -53.9% | 0.80 | 0.45 | 12.9x | 32 | 47% |
| EMA 크로스오버 fast=41, slow=117 |
24.1% | -52.1% | 0.79 | 0.46 | 12.8x | 14 | 54% |
| MACD fast=17, slow=26, signal=17 |
23.7% | -51.0% | 0.78 | 0.47 | 12.3x | 132 | 49% |
| Parabolic SAR step=0.015, maxStep=0.12 |
23.9% | -47.2% | 0.77 | 0.51 | 12.5x | 186 | 49% |
| Buy and hold | 20.5% | -84.2% | 0.63 | 0.24 | 9.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 37-day average + 3.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 37-day average