Trend-Following Backtester · Guide · backtest 한국어
equity · US
IDT Corporation backtest
10 trend-following strategies were compared on the full daily history of IDT Corporation. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.2%, MDD -51.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.1%, drawdown -99.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.4%, MDD -61.5%, Sharpe 0.81, 43% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 25.5%, MDD -64.4%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 20.3%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 16.2%, MDD -51.3%, exposure 28%).
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=110, k=1 |
24.4% | -61.5% | 0.81 | 0.40 | 244.0x | 61 | 43% |
| SMA 크로스오버 fast=48, slow=97 |
25.5% | -64.4% | 0.80 | 0.40 | 307.9x | 53 | 50% |
| EMA 크로스오버 fast=45, slow=89 |
22.7% | -68.1% | 0.76 | 0.33 | 171.9x | 41 | 48% |
| ROC 모멘텀 n=110, threshold=0.05 |
20.0% | -62.8% | 0.70 | 0.32 | 100.0x | 159 | 44% |
| Donchian 채널 돌파 entryN=103, exitN=27 |
16.2% | -51.3% | 0.67 | 0.32 | 44.1x | 53 | 28% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=11, mult=3.4 |
15.5% | -59.9% | 0.64 | 0.26 | 37.6x | 59 | 33% |
| ADX / DI 방향성 period=47, threshold=11 |
15.2% | -79.4% | 0.58 | 0.19 | 35.2x | 119 | 41% |
| Supertrend period=19, mult=4.6 |
11.8% | -81.7% | 0.49 | 0.14 | 16.7x | 87 | 46% |
| MACD fast=14, slow=75, signal=14 |
2.3% | -93.8% | 0.28 | 0.02 | 1.8x | 279 | 55% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.0% | -94.8% | 0.10 | -0.04 | 0.4x | 433 | 50% |
| Buy and hold | 4.1% | -99.0% | 0.36 | 0.04 | 2.8x | 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 110-day average (1× volatility)
- Sell — Sell when the close falls back to the 110-day middle average