Trend-Following Backtester · Guide · backtest 한국어
equity · US
Innodata Inc. backtest
10 trend-following strategies were compared on the full daily history of Innodata Inc.. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.4%, MDD -72.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.5%, drawdown -95.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 17.3%, MDD -72.6%, Sharpe 0.55, 45% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 21.4%, MDD -72.2%, exposure 55%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 22.8%p (CAGR 21.4%, MDD -72.2%, exposure 55%).
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=45, slow=207 |
17.3% | -72.6% | 0.55 | 0.24 | 194.3x | 39 | 45% |
| Donchian 채널 돌파 entryN=68, exitN=100 |
21.4% | -72.2% | 0.55 | 0.30 | 595.3x | 35 | 55% |
| EMA 크로스오버 fast=43, slow=133 |
16.9% | -73.2% | 0.54 | 0.23 | 170.5x | 43 | 45% |
| Supertrend period=15, mult=5 |
14.3% | -90.1% | 0.46 | 0.16 | 82.6x | 76 | 50% |
| Keltner 채널 돌파 emaPeriod=92, atrPeriod=15, mult=3.5 |
10.2% | -68.0% | 0.43 | 0.15 | 24.4x | 64 | 26% |
| ROC 모멘텀 n=97, threshold=0.12 |
6.2% | -91.2% | 0.38 | 0.07 | 7.3x | 315 | 37% |
| ADX / DI 방향성 period=26, threshold=12 |
6.4% | -94.4% | 0.37 | 0.07 | 7.7x | 352 | 43% |
| Parabolic SAR step=0.005, maxStep=0.34 |
5.0% | -91.9% | 0.35 | 0.05 | 4.9x | 234 | 47% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
3.3% | -87.0% | 0.31 | 0.04 | 2.9x | 128 | 30% |
| MACD fast=17, slow=26, signal=22 |
-9.2% | -100.0% | 0.19 | -0.09 | 0.0x | 456 | 52% |
| Buy and hold | 11.5% | -95.5% | 0.52 | 0.12 | 35.7x | 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 45-day average price crosses above the 207-day average
- Sell — Sell (to cash) when the 45-day average falls below the 207-day average