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; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.3%, MDD -25.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 5.9%, drawdown -91.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.3%, MDD -25.3%, Sharpe 0.53, 12% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 8.8%, MDD -47.0%, exposure 51%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 65.9%p (CAGR 6.3%, MDD -25.3%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=30, threshold=24 |
6.3% | -25.3% | 0.53 | 0.25 | 5.6x | 48 | 12% |
| 볼린저 밴드 돌파 n=59, k=3 |
7.6% | -33.3% | 0.53 | 0.23 | 7.9x | 34 | 17% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=25, mult=3.6 |
6.8% | -38.9% | 0.46 | 0.17 | 6.4x | 66 | 19% |
| Donchian 채널 돌파 entryN=64, exitN=64 |
8.8% | -47.0% | 0.46 | 0.19 | 10.8x | 55 | 51% |
| SMA 크로스오버 fast=18, slow=101 |
8.4% | -54.3% | 0.44 | 0.15 | 9.7x | 85 | 53% |
| EMA 크로스오버 fast=22, slow=101 |
7.6% | -52.4% | 0.41 | 0.15 | 7.9x | 75 | 55% |
| ROC 모멘텀 n=110, threshold=0.01 |
5.7% | -73.3% | 0.34 | 0.08 | 4.8x | 259 | 52% |
| Supertrend period=26, mult=4.8 |
3.7% | -56.9% | 0.27 | 0.07 | 2.8x | 101 | 53% |
| Parabolic SAR step=0.02, maxStep=0.14 |
0.8% | -71.1% | 0.17 | 0.01 | 1.3x | 579 | 53% |
| MACD fast=13, slow=40, signal=18 |
-0.6% | -77.7% | 0.13 | -0.01 | 0.9x | 381 | 51% |
| Buy and hold | 5.9% | -91.2% | 0.35 | 0.07 | 5.1x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 30-day) is ≥ 24
- Sell — Sell when direction flips or the trend weakens (ADX < 24)