Trend-Following Backtester · Guide · backtest 한국어
equity · NL
IMCD N.V. backtest
10 trend-following strategies were compared on the full daily history of IMCD N.V.. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.1%, MDD -31.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.6%, drawdown -66.3%).
Sharpe leader (same as main): Supertrend — CAGR 12.1%, MDD -31.7%, Sharpe 0.72, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p lower than buy and hold, while drawdown improves by 34.6%p (CAGR 12.1%, MDD -31.7%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=3.6 |
12.1% | -31.7% | 0.72 | 0.38 | 4.0x | 53 | 56% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=23, mult=1.6 |
9.4% | -33.7% | 0.63 | 0.28 | 3.0x | 61 | 48% |
| 볼린저 밴드 돌파 n=47, k=1.7 |
7.9% | -28.0% | 0.57 | 0.28 | 2.5x | 53 | 41% |
| EMA 크로스오버 fast=14, slow=23 |
8.7% | -41.2% | 0.53 | 0.21 | 2.7x | 89 | 58% |
| ADX / DI 방향성 period=21, threshold=30 |
3.8% | -15.5% | 0.49 | 0.24 | 1.6x | 22 | 12% |
| Donchian 채널 돌파 entryN=45, exitN=32 |
7.3% | -47.3% | 0.47 | 0.15 | 2.3x | 37 | 57% |
| ROC 모멘텀 n=99, threshold=-0.03 |
7.9% | -44.0% | 0.47 | 0.18 | 2.5x | 79 | 67% |
| MACD fast=15, slow=59, signal=16 |
7.0% | -49.4% | 0.46 | 0.14 | 2.3x | 125 | 49% |
| Parabolic SAR step=0.005, maxStep=0.3 |
4.1% | -42.3% | 0.31 | 0.10 | 1.6x | 103 | 53% |
| SMA 크로스오버 fast=28, slow=93 |
4.1% | -60.9% | 0.30 | 0.07 | 1.6x | 32 | 60% |
| Buy and hold | 12.6% | -66.3% | 0.57 | 0.19 | 4.2x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)