Trend-Following Backtester · Guide · backtest 한국어
equity · TW
Innodisk Corp. backtest
10 trend-following strategies were compared on the full daily history of Innodisk Corp.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 26.3%, MDD -38.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 28.1%, drawdown -48.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.6%, MDD -54.6%, Sharpe 0.95, 56% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.5%p lower than buy and hold, while drawdown improves by -6.2%p (CAGR 26.3%, MDD -38.2%, exposure 60%).
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=9, slow=31 |
27.6% | -54.6% | 0.95 | 0.51 | 29.6x | 117 | 56% |
| Supertrend period=20, mult=3.6 |
26.3% | -38.2% | 0.91 | 0.69 | 25.8x | 61 | 60% |
| MACD fast=22, slow=32, signal=22 |
22.4% | -55.6% | 0.86 | 0.40 | 16.5x | 129 | 53% |
| 볼린저 밴드 돌파 n=50, k=1.2 |
23.1% | -37.8% | 0.85 | 0.61 | 18.0x | 80 | 50% |
| Parabolic SAR step=0.01, maxStep=0.2 |
20.8% | -44.9% | 0.80 | 0.46 | 13.8x | 169 | 53% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=8, mult=3.7 |
18.7% | -36.6% | 0.80 | 0.51 | 10.9x | 28 | 29% |
| ADX / DI 방향성 period=13, threshold=20 |
19.9% | -42.3% | 0.78 | 0.47 | 12.5x | 176 | 45% |
| Donchian 채널 돌파 entryN=16, exitN=44 |
21.7% | -46.8% | 0.75 | 0.46 | 15.3x | 57 | 74% |
| ROC 모멘텀 n=38, threshold=-0.04 |
20.5% | -43.5% | 0.73 | 0.47 | 13.4x | 182 | 70% |
| EMA 크로스오버 fast=56, slow=150 |
20.0% | -51.2% | 0.71 | 0.39 | 12.6x | 21 | 71% |
| Buy and hold | 28.1% | -48.4% | 0.83 | 0.58 | 31.3x | 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 9-day average price crosses above the 31-day average
- Sell — Sell (to cash) when the 9-day average falls below the 31-day average