Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ingles Markets, Incorporated backtest
10 trend-following strategies were compared on the full daily history of Ingles Markets, Incorporated. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.1%, drawdown -74.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 3.5%, MDD -64.8%, Sharpe 0.26, 53% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=56, slow=217 |
3.5% | -64.8% | 0.26 | 0.05 | 3.8x | 59 | 53% |
| EMA 크로스오버 fast=49, slow=164 |
2.3% | -59.4% | 0.21 | 0.04 | 2.4x | 65 | 51% |
| ADX / DI 방향성 period=43, threshold=44 |
0.9% | -9.9% | 0.19 | 0.09 | 1.4x | 2 | 1% |
| 볼린저 밴드 돌파 n=59, k=3.3 |
1.5% | -51.5% | 0.18 | 0.03 | 1.8x | 50 | 14% |
| Donchian 채널 돌파 entryN=105, exitN=38 |
1.5% | -59.7% | 0.17 | 0.03 | 1.8x | 70 | 32% |
| ROC 모멘텀 n=249, threshold=0.08 |
0.8% | -64.9% | 0.15 | 0.01 | 1.3x | 211 | 43% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=12, mult=2.5 |
1.0% | -65.1% | 0.14 | 0.02 | 1.5x | 118 | 24% |
| Supertrend period=25, mult=5 |
-0.9% | -82.7% | 0.10 | -0.01 | 0.7x | 89 | 54% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-5.2% | -93.8% | -0.08 | -0.06 | 0.1x | 306 | 51% |
| MACD fast=14, slow=38, signal=19 |
-7.6% | -98.2% | -0.18 | -0.08 | 0.0x | 526 | 51% |
| Buy and hold | 5.1% | -74.0% | 0.32 | 0.07 | 6.9x | 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 56-day average price crosses above the 217-day average
- Sell — Sell (to cash) when the 56-day average falls below the 217-day average