Trend-Following Backtester · Guide · backtest 한국어
equity · US
Innospec Inc. backtest
10 trend-following strategies were compared on the full daily history of Innospec Inc.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.3%, MDD -25.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.3%, drawdown -91.2%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.6%, MDD -33.9%, Sharpe 0.53, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 9.1%, MDD -47.0%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 57.3%p (CAGR 6.3%, MDD -25.7%, exposure 12%).
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=59, k=3 |
7.6% | -33.9% | 0.53 | 0.23 | 8.0x | 35 | 17% |
| ADX / DI 방향성 period=30, threshold=24 |
6.3% | -25.7% | 0.53 | 0.24 | 5.6x | 49 | 12% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=25, mult=3.6 |
6.8% | -38.9% | 0.47 | 0.18 | 6.5x | 67 | 19% |
| Donchian 채널 돌파 entryN=64, exitN=64 |
9.1% | -47.0% | 0.47 | 0.19 | 11.8x | 55 | 51% |
| SMA 크로스오버 fast=18, slow=101 |
8.7% | -54.3% | 0.45 | 0.16 | 10.6x | 85 | 53% |
| EMA 크로스오버 fast=22, slow=101 |
7.9% | -52.4% | 0.42 | 0.15 | 8.6x | 75 | 55% |
| ROC 모멘텀 n=110, threshold=0.01 |
6.0% | -73.3% | 0.35 | 0.08 | 5.3x | 259 | 52% |
| Supertrend period=26, mult=4.8 |
4.1% | -56.9% | 0.28 | 0.07 | 3.1x | 101 | 53% |
| Parabolic SAR step=0.02, maxStep=0.14 |
1.1% | -71.1% | 0.18 | 0.02 | 1.4x | 581 | 53% |
| MACD fast=13, slow=40, signal=18 |
-0.3% | -77.7% | 0.14 | -0.00 | 0.9x | 381 | 51% |
| Buy and hold | 6.3% | -91.2% | 0.36 | 0.07 | 5.6x | 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 59-day average (3× volatility)
- Sell — Sell when the close falls back to the 59-day middle average