Trend-Following Backtester · Guide · backtest 한국어
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IRB InvIT Fund backtest
10 trend-following strategies were compared on the full daily history of IRB InvIT Fund. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.0%, MDD -8.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.9%, drawdown -49.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.6%, MDD -9.1%, Sharpe 0.43, 18% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 1.0%, MDD -8.1%, exposure 7%).
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=29, slow=82 |
2.6% | -9.1% | 0.43 | 0.28 | 1.3x | 11 | 18% |
| 볼린저 밴드 돌파 n=50, k=3.2 |
1.0% | -8.1% | 0.26 | 0.13 | 1.1x | 4 | 7% |
| EMA 크로스오버 fast=24, slow=44 |
1.3% | -12.2% | 0.23 | 0.11 | 1.1x | 13 | 19% |
| ROC 모멘텀 n=116, threshold=0.05 |
1.1% | -8.8% | 0.22 | 0.12 | 1.1x | 10 | 13% |
| ADX / DI 방향성 period=38, threshold=17 |
0.3% | -10.8% | 0.10 | 0.03 | 1.0x | 8 | 4% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=20, mult=2.8 |
0.1% | -10.7% | 0.05 | 0.01 | 1.0x | 7 | 6% |
| Donchian 채널 돌파 entryN=29, exitN=37 |
-4.8% | -49.2% | -0.17 | -0.10 | 0.6x | 11 | 75% |
| Supertrend period=15, mult=4.9 |
-6.0% | -48.9% | -0.25 | -0.12 | 0.6x | 9 | 69% |
| MACD fast=10, slow=57, signal=18 |
-2.3% | -40.2% | -0.30 | -0.06 | 0.8x | 49 | 22% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-9.4% | -60.2% | -0.48 | -0.16 | 0.4x | 60 | 71% |
| Buy and hold | -4.9% | -49.7% | -0.16 | -0.10 | 0.6x | 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 29-day average price crosses above the 82-day average
- Sell — Sell (to cash) when the 29-day average falls below the 82-day average