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 26.4%, 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 2.2%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 | 15.1x | 45 | 63% |
| EMA 크로스오버 fast=8, slow=101 |
23.1% | -44.4% | 0.79 | 0.52 | 13.6x | 41 | 64% |
| Supertrend period=25, mult=4.9 |
20.3% | -44.7% | 0.75 | 0.45 | 10.1x | 38 | 60% |
| Donchian 채널 돌파 entryN=30, exitN=68 |
23.3% | -61.4% | 0.75 | 0.38 | 13.8x | 23 | 77% |
| ROC 모멘텀 n=56, threshold=-0.05 |
17.1% | -55.0% | 0.63 | 0.31 | 7.2x | 139 | 70% |
| 볼린저 밴드 돌파 n=42, k=1.2 |
14.8% | -46.7% | 0.63 | 0.32 | 5.6x | 93 | 46% |
| ADX / DI 방향성 period=20, threshold=19 |
13.0% | -37.5% | 0.62 | 0.35 | 4.6x | 98 | 37% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=24, mult=1.8 |
13.0% | -53.2% | 0.59 | 0.25 | 4.6x | 84 | 43% |
| Parabolic SAR step=0.005, maxStep=0.36 |
7.1% | -55.9% | 0.37 | 0.13 | 2.4x | 121 | 57% |
| MACD fast=9, slow=22, signal=11 |
6.5% | -59.9% | 0.36 | 0.11 | 2.2x | 266 | 51% |
| Buy and hold | 26.4% | -61.8% | 0.73 | 0.43 | 18.9x | 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