Trend-Following Backtester · Guide · backtest 한국어
equity · US
IDEX Corporation backtest
10 trend-following strategies were compared on the full daily history of IDEX Corporation. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 96% market exposure makes it hold-like.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.5%, drawdown -59.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.6%, MDD -50.6%, Sharpe 0.59, 96% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 96% n=16, threshold=-0.12 |
12.6% | -50.6% | 0.59 | 0.25 | 81.4x | 121 | 96% |
| Donchian 채널 돌파 entryN=11, exitN=36 |
9.3% | -51.0% | 0.50 | 0.18 | 27.1x | 173 | 79% |
| Supertrend period=28, mult=3.3 |
7.1% | -40.8% | 0.45 | 0.17 | 12.6x | 241 | 60% |
| EMA 크로스오버 fast=17, slow=97 |
7.0% | -55.6% | 0.44 | 0.13 | 12.3x | 121 | 68% |
| SMA 크로스오버 fast=8, slow=167 |
6.1% | -64.1% | 0.41 | 0.10 | 9.1x | 115 | 68% |
| Parabolic SAR step=0.01, maxStep=0.04 |
5.3% | -40.6% | 0.36 | 0.13 | 6.8x | 341 | 59% |
| MACD fast=19, slow=29, signal=20 |
4.2% | -63.7% | 0.31 | 0.07 | 4.6x | 404 | 51% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=7, mult=1.8 |
2.6% | -63.8% | 0.24 | 0.04 | 2.6x | 243 | 51% |
| 볼린저 밴드 돌파 n=57, k=1.6 |
2.2% | -47.9% | 0.22 | 0.05 | 2.3x | 189 | 47% |
| ADX / DI 방향성 period=24, threshold=9 |
1.4% | -64.4% | 0.17 | 0.02 | 1.7x | 543 | 58% |
| Buy and hold | 12.5% | -59.7% | 0.56 | 0.21 | 79.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 16-day return is greater than -12%
- Sell — Sell when the 16-day return drops to -12% or below