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 16.3%, MDD -51.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.2%, drawdown -99.0%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.4%, MDD -61.5%, Sharpe 0.81, 44% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 25.6%, MDD -64.4%, exposure 50%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 20.2%p higher than buy and hold, while drawdown improves by 37.5%p (CAGR 16.3%, MDD -51.3%, exposure 29%).
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 | 252.7x | 61 | 44% |
| SMA 크로스오버 fast=48, slow=97 |
25.6% | -64.4% | 0.81 | 0.40 | 318.9x | 53 | 50% |
| EMA 크로스오버 fast=45, slow=89 |
22.7% | -68.1% | 0.76 | 0.33 | 178.1x | 41 | 48% |
| ROC 모멘텀 n=110, threshold=0.05 |
20.1% | -62.8% | 0.70 | 0.32 | 103.6x | 159 | 44% |
| Donchian 채널 돌파 entryN=103, exitN=27 |
16.3% | -51.3% | 0.68 | 0.32 | 45.7x | 53 | 29% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=11, mult=3.4 |
15.6% | -59.9% | 0.64 | 0.26 | 39.0x | 59 | 33% |
| ADX / DI 방향성 period=47, threshold=11 |
15.3% | -79.4% | 0.58 | 0.19 | 36.5x | 119 | 42% |
| Supertrend period=19, mult=4.6 |
11.9% | -81.7% | 0.49 | 0.15 | 17.3x | 87 | 46% |
| MACD fast=14, slow=75, signal=14 |
2.2% | -93.8% | 0.28 | 0.02 | 1.7x | 281 | 55% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.9% | -94.8% | 0.10 | -0.04 | 0.4x | 435 | 50% |
| Buy and hold | 4.2% | -99.0% | 0.36 | 0.04 | 2.9x | 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