Trend-Following Backtester · Guide · backtest 한국어
equity · US
Intapp, Inc. backtest
10 trend-following strategies were compared on the full daily history of Intapp, Inc.. 10 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 25.0%, MDD -17.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR 3.0%, drawdown -74.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 25.0%, MDD -17.8%, Sharpe 1.17, 22% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 25.5%, MDD -22.8%, exposure 30%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 22.1%p higher than buy and hold, while drawdown improves by 56.3%p (CAGR 25.0%, MDD -17.8%, exposure 22%).
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=76, k=3.1 |
25.0% | -17.8% | 1.17 | 1.40 | 3.1x | 4 | 22% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=25, mult=3.4 |
22.3% | -21.8% | 1.05 | 1.02 | 2.8x | 7 | 22% |
| ROC 모멘텀 n=95, threshold=0.14 |
25.5% | -22.8% | 0.97 | 1.12 | 3.2x | 17 | 30% |
| ADX / DI 방향성 period=41, threshold=13 |
18.7% | -35.8% | 0.79 | 0.52 | 2.4x | 20 | 26% |
| SMA 크로스오버 fast=23, slow=94 |
21.9% | -36.2% | 0.75 | 0.60 | 2.7x | 11 | 45% |
| Donchian 채널 돌파 entryN=105, exitN=60 |
15.8% | -38.5% | 0.67 | 0.41 | 2.1x | 7 | 30% |
| EMA 크로스오버 fast=53, slow=128 |
13.5% | -34.6% | 0.57 | 0.39 | 1.9x | 6 | 36% |
| Parabolic SAR step=0.01, maxStep=0.14 |
13.8% | -55.7% | 0.54 | 0.25 | 1.9x | 69 | 52% |
| Supertrend period=21, mult=2.7 |
11.2% | -50.1% | 0.47 | 0.22 | 1.7x | 33 | 49% |
| MACD fast=17, slow=43, signal=19 |
9.7% | -39.3% | 0.43 | 0.25 | 1.6x | 45 | 53% |
| Buy and hold | 3.0% | -74.2% | 0.33 | 0.04 | 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 76-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 76-day middle average