Trend-Following Backtester · Guide · backtest 한국어
equity · IN
IRCON International Ltd. backtest
10 trend-following strategies were compared on the full daily history of IRCON International Ltd.. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 15.1%, MDD -24.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.2%, drawdown -65.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 20.5%, MDD -34.4%, Sharpe 0.80, 23% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 31.3%p (CAGR 15.1%, MDD -24.0%, exposure 12%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=119, threshold=0.24 |
20.5% | -34.4% | 0.80 | 0.60 | 4.4x | 20 | 23% |
| ADX / DI 방향성 period=40, threshold=26 |
15.1% | -24.0% | 0.79 | 0.63 | 3.0x | 4 | 12% |
| Donchian 채널 돌파 entryN=118, exitN=43 |
19.3% | -47.9% | 0.74 | 0.40 | 4.0x | 6 | 31% |
| SMA 크로스오버 fast=34, slow=153 |
19.0% | -48.9% | 0.66 | 0.39 | 4.0x | 16 | 49% |
| EMA 크로스오버 fast=46, slow=209 |
18.8% | -48.9% | 0.66 | 0.39 | 3.9x | 8 | 49% |
| Supertrend period=14, mult=2.9 |
11.2% | -54.1% | 0.48 | 0.21 | 2.3x | 48 | 49% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=25, mult=2.8 |
9.2% | -56.7% | 0.45 | 0.16 | 2.0x | 22 | 28% |
| 볼린저 밴드 돌파 n=33, k=1 |
6.2% | -55.0% | 0.35 | 0.11 | 1.6x | 72 | 40% |
| MACD fast=9, slow=38, signal=13 |
4.7% | -55.9% | 0.30 | 0.08 | 1.4x | 120 | 46% |
| Parabolic SAR step=0.035, maxStep=0.12 |
-0.2% | -50.1% | 0.15 | -0.00 | 1.0x | 195 | 47% |
| Buy and hold | 14.2% | -65.8% | 0.52 | 0.22 | 2.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 119-day return is greater than 24%
- Sell — Sell when the 119-day return drops to 24% or below