Trend-Following Backtester · Guide · backtest 한국어
equity · TH
Indorama Ventures Public Co. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Indorama Ventures Public Co. Ltd.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.1%, MDD -20.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.7%, drawdown -76.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.9%, MDD -34.4%, Sharpe 0.63, 26% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 12.1%, MDD -43.3%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 41.9%p (CAGR 8.1%, MDD -20.8%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=25, threshold=18 |
11.9% | -34.4% | 0.63 | 0.35 | 6.4x | 78 | 26% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=27, mult=2.4 |
8.1% | -20.8% | 0.61 | 0.39 | 3.6x | 35 | 7% |
| 볼린저 밴드 돌파 n=49, k=2.6 |
10.2% | -27.4% | 0.59 | 0.37 | 5.0x | 36 | 23% |
| SMA 크로스오버 fast=13, slow=38 |
12.1% | -43.3% | 0.55 | 0.28 | 6.6x | 100 | 49% |
| ROC 모멘텀 n=46, threshold=0.03 |
7.9% | -52.3% | 0.42 | 0.15 | 3.5x | 201 | 40% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.3% | -60.3% | 0.39 | 0.12 | 3.2x | 118 | 53% |
| Supertrend period=12, mult=3.8 |
6.9% | -57.5% | 0.38 | 0.12 | 3.0x | 69 | 52% |
| EMA 크로스오버 fast=31, slow=79 |
5.6% | -49.4% | 0.34 | 0.11 | 2.4x | 36 | 45% |
| MACD fast=18, slow=56, signal=17 |
4.9% | -67.0% | 0.32 | 0.07 | 2.2x | 157 | 49% |
| Donchian 채널 돌파 entryN=15, exitN=66 |
3.5% | -73.9% | 0.27 | 0.05 | 1.8x | 57 | 74% |
| Buy and hold | 5.7% | -76.3% | 0.35 | 0.07 | 2.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 25-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)