Trend-Following Backtester · Guide · backtest 한국어
equity · US
InfuSystems Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of InfuSystems Holdings, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 14.7%, MDD -51.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.9%, drawdown -79.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.7%, MDD -51.5%, Sharpe 0.55, 52% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 28.0%p (CAGR 14.7%, MDD -51.5%, exposure 52%).
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=35, slow=56 |
14.7% | -51.5% | 0.55 | 0.29 | 12.9x | 81 | 52% |
| Donchian 채널 돌파 entryN=17, exitN=44 |
4.3% | -67.4% | 0.32 | 0.06 | 2.2x | 65 | 74% |
| 볼린저 밴드 돌파 n=50, k=2.7 |
4.0% | -48.9% | 0.28 | 0.08 | 2.1x | 40 | 20% |
| EMA 크로스오버 fast=55, slow=75 |
2.2% | -73.9% | 0.24 | 0.03 | 1.5x | 41 | 52% |
| ADX / DI 방향성 period=28, threshold=22 |
2.9% | -46.5% | 0.23 | 0.06 | 1.7x | 64 | 16% |
| Supertrend period=6, mult=4.3 |
-0.5% | -83.5% | 0.19 | -0.01 | 0.9x | 80 | 57% |
| Parabolic SAR step=0.005, maxStep=0.18 |
-0.1% | -83.6% | 0.19 | -0.00 | 1.0x | 121 | 48% |
| ROC 모멘텀 n=186, threshold=-0.08 |
-2.6% | -81.1% | 0.13 | -0.03 | 0.6x | 154 | 62% |
| MACD fast=22, slow=56, signal=19 |
-6.1% | -89.6% | 0.07 | -0.07 | 0.3x | 171 | 49% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=18, mult=4 |
-1.1% | -52.3% | 0.02 | -0.02 | 0.8x | 24 | 8% |
| Buy and hold | 4.9% | -79.5% | 0.37 | 0.06 | 2.4x | 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 35-day average price crosses above the 56-day average
- Sell — Sell (to cash) when the 35-day average falls below the 56-day average