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 ADX / DI 방향성 (CAGR 0.1%, MDD -0.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.6%, drawdown -49.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.9%, MDD -9.1%, Sharpe 0.48, 20% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 0.1%, MDD -0.5%, exposure 0%).
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=30, slow=81 |
2.9% | -9.1% | 0.48 | 0.32 | 1.3x | 11 | 20% |
| ROC 모멘텀 n=69, threshold=0.03 |
2.4% | -8.6% | 0.43 | 0.28 | 1.2x | 19 | 15% |
| 볼린저 밴드 돌파 n=49, k=3.1 |
1.2% | -8.1% | 0.28 | 0.15 | 1.1x | 5 | 9% |
| EMA 크로스오버 fast=59, slow=80 |
0.9% | -8.8% | 0.18 | 0.10 | 1.1x | 5 | 20% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=21, mult=3.2 |
0.4% | -6.3% | 0.17 | 0.06 | 1.0x | 2 | 1% |
| ADX / DI 방향성 period=27, threshold=38 |
0.1% | -0.5% | 0.16 | 0.12 | 1.0x | 2 | 0% |
| MACD fast=18, slow=90, signal=20 |
-0.7% | -32.6% | -0.06 | -0.02 | 0.9x | 34 | 22% |
| Donchian 채널 돌파 entryN=25, exitN=73 |
-4.3% | -49.2% | -0.14 | -0.09 | 0.7x | 9 | 82% |
| Supertrend period=16, mult=4.8 |
-5.5% | -48.5% | -0.23 | -0.11 | 0.6x | 9 | 70% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-9.5% | -60.7% | -0.49 | -0.16 | 0.4x | 63 | 71% |
| Buy and hold | -4.6% | -49.7% | -0.15 | -0.09 | 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 30-day average price crosses above the 81-day average
- Sell — Sell (to cash) when the 30-day average falls below the 81-day average