Trend-Following Backtester · Guide · backtest 한국어
equity · US
Installed Building Products, Inc. backtest
10 trend-following strategies were compared on the full daily history of Installed Building Products, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 24.2%, MDD -43.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.7%, drawdown -61.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 24.2%, MDD -43.1%, Sharpe 0.84, 63% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 18.7%p (CAGR 24.2%, MDD -43.1%, exposure 63%).
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=6, slow=111 |
24.2% | -43.1% | 0.84 | 0.56 | 14.9x | 44 | 63% |
| EMA 크로스오버 fast=8, slow=101 |
23.3% | -43.1% | 0.80 | 0.54 | 13.7x | 40 | 64% |
| Supertrend period=25, mult=4.9 |
20.4% | -44.7% | 0.75 | 0.46 | 10.1x | 38 | 61% |
| Donchian 채널 돌파 entryN=30, exitN=68 |
22.6% | -61.4% | 0.73 | 0.37 | 12.7x | 23 | 77% |
| ADX / DI 방향성 period=20, threshold=19 |
13.1% | -37.5% | 0.62 | 0.35 | 4.6x | 98 | 37% |
| ROC 모멘텀 n=56, threshold=-0.05 |
16.4% | -55.0% | 0.62 | 0.30 | 6.6x | 139 | 70% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
14.1% | -46.7% | 0.61 | 0.30 | 5.2x | 93 | 46% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=1.8 |
13.1% | -53.2% | 0.59 | 0.25 | 4.6x | 84 | 44% |
| MACD fast=9, slow=22, signal=11 |
6.9% | -59.9% | 0.37 | 0.12 | 2.3x | 261 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
6.4% | -55.9% | 0.35 | 0.11 | 2.2x | 121 | 57% |
| Buy and hold | 25.7% | -61.8% | 0.72 | 0.42 | 17.3x | 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 6-day average price crosses above the 111-day average
- Sell — Sell (to cash) when the 6-day average falls below the 111-day average