Trend-Following Backtester · Guide · backtest 한국어
equity · US
International Money Express, Inc. backtest
10 trend-following strategies were compared on the full daily history of International Money Express, Inc.. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.8%, MDD -18.0%).
Results by strategy
3 of 10 beat buy and hold (CAGR 2.1%, drawdown -67.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 2.8%, MDD -18.0%, Sharpe 0.38, 7% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 4.3%, MDD -40.3%, exposure 18%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 49.8%p (CAGR 2.8%, MDD -18.0%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=3 |
2.8% | -18.0% | 0.38 | 0.15 | 1.3x | 22 | 7% |
| ROC 모멘텀 n=42, threshold=0.13 |
4.3% | -40.3% | 0.35 | 0.11 | 1.5x | 60 | 18% |
| ADX / DI 방향성 period=35, threshold=18 |
3.6% | -36.9% | 0.30 | 0.10 | 1.4x | 22 | 31% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=25, mult=3.5 |
1.0% | -11.3% | 0.17 | 0.09 | 1.1x | 10 | 5% |
| Donchian 채널 돌파 entryN=17, exitN=67 |
0.3% | -58.0% | 0.16 | 0.01 | 1.0x | 26 | 75% |
| EMA 크로스오버 fast=59, slow=209 |
-1.7% | -65.3% | 0.08 | -0.03 | 0.9x | 14 | 64% |
| SMA 크로스오버 fast=22, slow=168 |
-1.5% | -53.1% | 0.06 | -0.03 | 0.9x | 22 | 59% |
| MACD fast=13, slow=49, signal=11 |
-2.9% | -57.5% | 0.06 | -0.05 | 0.8x | 126 | 46% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-2.7% | -56.8% | 0.05 | -0.05 | 0.8x | 148 | 49% |
| Supertrend period=25, mult=2.9 |
-2.7% | -59.9% | 0.02 | -0.04 | 0.8x | 56 | 60% |
| Buy and hold | 2.1% | -67.8% | 0.25 | 0.03 | 1.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (3× volatility)
- Sell — Sell when the close falls back to the 14-day middle average