Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Industrial & Infrastructure Fund Investment Corporation backtest
10 trend-following strategies were compared on the full daily history of Industrial & Infrastructure Fund Investment Corporation. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.6%, MDD -16.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.5%, drawdown -61.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 6.2%, MDD -19.3%, Sharpe 0.75, 15% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.6%, MDD -42.8%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 42.3%p (CAGR 4.6%, MDD -16.7%, exposure 13%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=34, k=3.2 |
6.2% | -19.3% | 0.75 | 0.32 | 3.1x | 28 | 15% |
| ADX / DI 방향성 period=24, threshold=24 |
6.6% | -17.9% | 0.70 | 0.37 | 3.3x | 46 | 16% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=14, mult=3.5 |
4.6% | -16.7% | 0.55 | 0.28 | 2.3x | 30 | 13% |
| SMA 크로스오버 fast=20, slow=215 |
6.6% | -42.8% | 0.45 | 0.16 | 3.4x | 24 | 49% |
| Donchian 채널 돌파 entryN=98, exitN=23 |
4.7% | -37.8% | 0.44 | 0.12 | 2.4x | 38 | 27% |
| EMA 크로스오버 fast=57, slow=178 |
6.5% | -42.8% | 0.43 | 0.15 | 3.3x | 18 | 50% |
| ROC 모멘텀 n=105, threshold=0.13 |
4.3% | -33.0% | 0.41 | 0.13 | 2.2x | 72 | 23% |
| Supertrend period=23, mult=4.8 |
4.0% | -47.5% | 0.33 | 0.08 | 2.1x | 58 | 47% |
| MACD fast=19, slow=50, signal=23 |
-0.2% | -40.6% | 0.08 | -0.01 | 1.0x | 178 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-1.7% | -60.8% | -0.01 | -0.03 | 0.7x | 154 | 53% |
| Buy and hold | 4.5% | -61.6% | 0.30 | 0.07 | 2.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 34-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 34-day middle average