Trend-Following Backtester · Guide · backtest 한국어
equity · US
i3 Verticals, Inc. backtest
10 trend-following strategies were compared on the full daily history of i3 Verticals, Inc.. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 3.7%, MDD -48.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 1.6%, drawdown -61.4%).
Sharpe leader (same as main): MACD — CAGR 4.3%, MDD -62.2%, Sharpe 0.29, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.6%p higher than buy and hold, while drawdown improves by -0.8%p (CAGR 3.7%, MDD -48.5%, exposure 46%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=10, slow=24, signal=10 |
4.3% | -62.2% | 0.29 | 0.07 | 1.4x | 147 | 52% |
| Supertrend period=13, mult=3.7 |
3.7% | -48.5% | 0.27 | 0.08 | 1.3x | 32 | 46% |
| SMA 크로스오버 fast=33, slow=43 |
1.4% | -47.8% | 0.20 | 0.03 | 1.1x | 55 | 52% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
1.0% | -21.7% | 0.18 | 0.04 | 1.1x | 4 | 4% |
| ROC 모멘텀 n=34, threshold=0.26 |
1.1% | -28.6% | 0.15 | 0.04 | 1.1x | 36 | 6% |
| Parabolic SAR step=0.005, maxStep=0.2 |
-0.1% | -70.2% | 0.15 | -0.00 | 1.0x | 71 | 49% |
| Donchian 채널 돌파 entryN=34, exitN=70 |
-3.8% | -72.0% | 0.07 | -0.05 | 0.7x | 19 | 68% |
| ADX / DI 방향성 period=16, threshold=32 |
0.1% | -22.6% | 0.06 | 0.00 | 1.0x | 16 | 7% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=21, mult=1.7 |
-2.5% | -57.1% | -0.00 | -0.04 | 0.8x | 46 | 23% |
| EMA 크로스오버 fast=15, slow=29 |
-6.6% | -69.8% | -0.07 | -0.10 | 0.6x | 69 | 49% |
| Buy and hold | 1.6% | -61.4% | 0.28 | 0.03 | 1.1x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (10/24) crosses above its 10-day signal line
- Sell — Sell when the MACD line crosses back below the signal line