Trend-Following Backtester · Guide · backtest 한국어
equity · US
InnovAge Holding Corp. backtest
10 trend-following strategies were compared on the full daily history of InnovAge Holding Corp.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.3%, MDD -17.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.7%, drawdown -89.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 21.2%, MDD -50.6%, Sharpe 0.65, 41% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 35.0%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 7.3%, MDD -17.8%, exposure 3%).
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=35, slow=119 |
21.2% | -50.6% | 0.65 | 0.42 | 2.9x | 7 | 41% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
7.3% | -17.8% | 0.59 | 0.41 | 1.5x | 4 | 3% |
| Donchian 채널 돌파 entryN=96, exitN=45 |
14.5% | -36.9% | 0.54 | 0.39 | 2.1x | 5 | 30% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=11, mult=2 |
8.4% | -21.4% | 0.50 | 0.39 | 1.6x | 14 | 8% |
| ROC 모멘텀 n=138, threshold=0.09 |
9.4% | -51.7% | 0.42 | 0.18 | 1.6x | 39 | 35% |
| EMA 크로스오버 fast=46, slow=95 |
6.4% | -61.4% | 0.36 | 0.10 | 1.4x | 9 | 41% |
| ADX / DI 방향성 period=21, threshold=11 |
-4.4% | -73.8% | 0.14 | -0.06 | 0.8x | 81 | 47% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-7.5% | -78.9% | 0.07 | -0.10 | 0.7x | 97 | 48% |
| Supertrend period=17, mult=2 |
-7.2% | -78.3% | 0.07 | -0.09 | 0.7x | 48 | 45% |
| MACD fast=16, slow=24, signal=11 |
-10.9% | -74.8% | 0.01 | -0.15 | 0.5x | 92 | 50% |
| Buy and hold | -13.7% | -89.9% | 0.16 | -0.15 | 0.4x | 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 35-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 35-day average falls below the 119-day average