Trend-Following Backtester · Guide · backtest 한국어
equity · US
IES Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of IES Holdings, Inc.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -31.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.9%, drawdown -99.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.3%, MDD -90.1%, Sharpe 0.54, 67% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.4%p higher than buy and hold, while drawdown improves by 9.5%p (CAGR 8.4%, MDD -31.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=36, exitN=71 |
15.3% | -90.1% | 0.54 | 0.17 | 57.5x | 55 | 67% |
| 볼린저 밴드 돌파 n=49, k=3.2 |
8.4% | -31.7% | 0.53 | 0.27 | 10.0x | 40 | 15% |
| SMA 크로스오버 fast=58, slow=75 |
9.2% | -82.0% | 0.42 | 0.11 | 12.4x | 107 | 56% |
| EMA 크로스오버 fast=31, slow=79 |
9.2% | -87.1% | 0.42 | 0.11 | 12.1x | 75 | 54% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=18, mult=3.8 |
6.1% | -47.6% | 0.39 | 0.13 | 5.5x | 56 | 16% |
| Supertrend period=5, mult=5 |
6.9% | -81.0% | 0.37 | 0.08 | 6.6x | 90 | 54% |
| ROC 모멘텀 n=148, threshold=0.04 |
3.6% | -90.7% | 0.29 | 0.04 | 2.8x | 227 | 50% |
| MACD fast=17, slow=42, signal=19 |
1.5% | -86.7% | 0.28 | 0.02 | 1.5x | 322 | 51% |
| ADX / DI 방향성 period=14, threshold=31 |
2.3% | -44.1% | 0.22 | 0.05 | 1.9x | 122 | 14% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-7.6% | -97.7% | 0.06 | -0.08 | 0.1x | 478 | 53% |
| Buy and hold | 3.9% | -99.5% | 0.40 | 0.04 | 3.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 36 days
- Sell — Sell when price breaks below the lowest low of the last 71 days