Trend-Following Backtester · Guide · backtest 한국어
equity · US
Insteel Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Insteel Industries, Inc.. 2 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.6%, MDD -77.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.6%, drawdown -97.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.9%, MDD -23.9%, Sharpe 0.49, 1% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.6%, MDD -77.5%, exposure 50%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 73.5%p (CAGR 7.6%, MDD -77.5%, exposure 50%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=18, mult=3.8 |
3.9% | -23.9% | 0.49 | 0.17 | 3.8x | 8 | 1% |
| ADX / DI 방향성 period=33, threshold=38 |
4.1% | -24.6% | 0.47 | 0.17 | 3.9x | 4 | 1% |
| SMA 크로스오버 fast=42, slow=81 |
7.6% | -77.5% | 0.38 | 0.10 | 12.6x | 129 | 50% |
| EMA 크로스오버 fast=31, slow=91 |
6.3% | -84.7% | 0.35 | 0.07 | 8.2x | 101 | 49% |
| Donchian 채널 돌파 entryN=95, exitN=46 |
4.8% | -68.4% | 0.31 | 0.07 | 5.0x | 62 | 39% |
| Supertrend period=28, mult=4.2 |
4.3% | -88.6% | 0.30 | 0.05 | 4.2x | 163 | 47% |
| 볼린저 밴드 돌파 n=33, k=3.5 |
2.4% | -52.7% | 0.23 | 0.05 | 2.3x | 34 | 6% |
| ROC 모멘텀 n=137, threshold=0.08 |
0.7% | -92.0% | 0.20 | 0.01 | 1.3x | 282 | 37% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-1.6% | -91.1% | 0.17 | -0.02 | 0.6x | 437 | 48% |
| MACD fast=16, slow=31, signal=14 |
-4.2% | -97.7% | 0.12 | -0.04 | 0.2x | 501 | 51% |
| Buy and hold | 5.6% | -97.4% | 0.39 | 0.06 | 6.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 7-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average