Trend-Following Backtester · Guide · backtest 한국어
equity · US
The Intergroup Corporation backtest
10 trend-following strategies were compared on the full daily history of The Intergroup Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -82.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.2%, MDD -78.3%, Sharpe 0.32, 59% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=48, slow=195 |
5.2% | -78.3% | 0.32 | 0.07 | 10.4x | 63 | 59% |
| ADX / DI 방향성 period=27, threshold=26 |
3.9% | -39.4% | 0.32 | 0.10 | 5.9x | 64 | 19% |
| Donchian 채널 돌파 entryN=91, exitN=91 |
4.9% | -59.3% | 0.31 | 0.08 | 9.1x | 46 | 54% |
| SMA 크로스오버 fast=22, slow=219 |
3.8% | -68.7% | 0.28 | 0.06 | 5.8x | 103 | 56% |
| ROC 모멘텀 n=198, threshold=0.23 |
2.5% | -55.2% | 0.23 | 0.05 | 3.2x | 168 | 22% |
| 볼린저 밴드 돌파 n=59, k=2.7 |
-0.2% | -81.9% | 0.12 | -0.00 | 0.9x | 132 | 24% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-4.6% | -96.6% | 0.04 | -0.05 | 0.1x | 290 | 52% |
| MACD fast=38, slow=98, signal=71 |
-5.4% | -95.9% | 0.01 | -0.06 | 0.1x | 222 | 48% |
| Supertrend period=11, mult=5 |
-10.6% | -99.9% | -0.14 | -0.11 | 0.0x | 272 | 55% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=8, mult=3.7 |
-6.7% | -97.5% | -0.14 | -0.07 | 0.0x | 166 | 23% |
| Buy and hold | 7.6% | -82.9% | 0.39 | 0.09 | 29.4x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 48-day EMA crosses above the 195-day EMA
- Sell — Sell when the 48-day EMA falls below the 195-day EMA