Trend-Following Backtester · Guide · backtest 한국어
equity · US
International Flavors & Fragrances, Inc. backtest
10 trend-following strategies were compared on the full daily history of International Flavors & Fragrances, 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 4.5%, MDD -47.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -72.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.5%, MDD -47.4%, Sharpe 0.32, 57% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 25.1%p (CAGR 4.5%, MDD -47.4%, exposure 57%).
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=102, slow=187 |
4.5% | -47.4% | 0.32 | 0.10 | 9.7x | 65 | 57% |
| Donchian 채널 돌파 entryN=105, exitN=77 |
0.9% | -62.1% | 0.14 | 0.01 | 1.6x | 71 | 50% |
| EMA 크로스오버 fast=51, slow=149 |
0.4% | -64.9% | 0.11 | 0.01 | 1.2x | 93 | 58% |
| ROC 모멘텀 n=191, threshold=-0.08 |
-0.2% | -73.5% | 0.10 | -0.00 | 0.9x | 333 | 73% |
| ADX / DI 방향성 period=35, threshold=37 |
0.1% | -5.2% | 0.09 | 0.02 | 1.0x | 2 | 0% |
| 볼린저 밴드 돌파 n=56, k=3.5 |
-0.3% | -44.9% | -0.02 | -0.01 | 0.9x | 34 | 7% |
| Supertrend period=15, mult=5 |
-3.6% | -90.2% | -0.09 | -0.04 | 0.2x | 175 | 56% |
| MACD fast=12, slow=22, signal=16 |
-5.7% | -95.5% | -0.23 | -0.06 | 0.0x | 861 | 50% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=21, mult=3.1 |
-4.1% | -89.1% | -0.23 | -0.05 | 0.1x | 186 | 34% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-8.2% | -99.0% | -0.35 | -0.08 | 0.0x | 930 | 52% |
| Buy and hold | 4.7% | -72.4% | 0.31 | 0.07 | 10.9x | 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 102-day average price crosses above the 187-day average
- Sell — Sell (to cash) when the 102-day average falls below the 187-day average