Trend-Following Backtester · Guide · backtest 한국어
equity · US
IBEX Limited backtest
10 trend-following strategies were compared on the full daily history of IBEX Limited. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.1%, MDD -30.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 14.8%, drawdown -56.0%).
Sharpe leader (same as main): Supertrend — CAGR 24.6%, MDD -34.6%, Sharpe 0.76, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 21.4%p (CAGR 16.1%, MDD -30.5%, exposure 54%).
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=29, mult=3.6 |
24.6% | -34.6% | 0.76 | 0.71 | 3.7x | 17 | 58% |
| EMA 크로스오버 fast=21, slow=52 |
20.9% | -34.5% | 0.69 | 0.60 | 3.1x | 19 | 62% |
| SMA 크로스오버 fast=15, slow=103 |
19.3% | -34.6% | 0.66 | 0.56 | 2.9x | 13 | 58% |
| Donchian 채널 돌파 entryN=45, exitN=38 |
16.1% | -30.5% | 0.59 | 0.53 | 2.4x | 11 | 54% |
| ROC 모멘텀 n=81, threshold=0 |
15.9% | -38.1% | 0.58 | 0.42 | 2.4x | 31 | 56% |
| Keltner 채널 돌파 emaPeriod=77, atrPeriod=28, mult=2 |
9.0% | -30.2% | 0.42 | 0.30 | 1.7x | 21 | 43% |
| 볼린저 밴드 돌파 n=12, k=2.6 |
5.6% | -41.1% | 0.34 | 0.14 | 1.4x | 38 | 14% |
| ADX / DI 방향성 period=38, threshold=11 |
4.2% | -35.5% | 0.28 | 0.12 | 1.3x | 33 | 39% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-1.2% | -57.5% | 0.15 | -0.02 | 0.9x | 81 | 53% |
| MACD fast=18, slow=53, signal=17 |
-1.9% | -52.4% | 0.11 | -0.04 | 0.9x | 69 | 47% |
| Buy and hold | 14.8% | -56.0% | 0.52 | 0.26 | 2.3x | 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) — 29-day volatility, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)