Trend-Following Backtester · Guide · backtest 한국어
equity · US
Interactive Brokers Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of Interactive Brokers Group, Inc.. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 14.5%, MDD -43.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 13.9%, drawdown -63.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 14.5%, MDD -43.9%, Sharpe 0.70, 56% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 14.5%, MDD -43.9%, 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=361 |
14.5% | -43.9% | 0.70 | 0.33 | 13.7x | 15 | 56% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=16, mult=2.9 |
8.8% | -42.8% | 0.58 | 0.21 | 5.1x | 58 | 35% |
| Donchian 채널 돌파 entryN=23, exitN=53 |
11.5% | -66.7% | 0.54 | 0.17 | 8.2x | 55 | 74% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
7.4% | -50.7% | 0.49 | 0.15 | 4.0x | 74 | 36% |
| SMA 크로스오버 fast=30, slow=114 |
8.5% | -53.8% | 0.45 | 0.16 | 4.8x | 49 | 59% |
| ROC 모멘텀 n=122, threshold=-0.04 |
8.4% | -68.3% | 0.45 | 0.12 | 4.8x | 167 | 68% |
| Supertrend period=19, mult=4.3 |
7.5% | -60.5% | 0.42 | 0.12 | 4.1x | 65 | 59% |
| ADX / DI 방향성 period=35, threshold=32 |
1.4% | -11.7% | 0.39 | 0.12 | 1.3x | 4 | 3% |
| MACD fast=21, slow=58, signal=21 |
3.8% | -61.9% | 0.28 | 0.06 | 2.1x | 183 | 55% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-0.8% | -84.0% | 0.08 | -0.01 | 0.9x | 395 | 55% |
| Buy and hold | 13.9% | -63.7% | 0.55 | 0.22 | 12.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 361-day EMA
- Sell — Sell when the 55-day EMA falls below the 361-day EMA