Trend-Following Backtester · Guide · backtest 한국어
equity · US
Imax Corporation backtest
10 trend-following strategies were compared on the full daily history of Imax Corporation. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.2%, MDD -64.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.6%, drawdown -98.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.5%, MDD -75.1%, Sharpe 0.46, 69% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.9%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 11.2%, MDD -64.3%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=22, exitN=43 |
11.5% | -75.1% | 0.46 | 0.15 | 33.0x | 115 | 69% |
| Supertrend period=25, mult=3 |
11.2% | -64.3% | 0.46 | 0.17 | 30.6x | 213 | 55% |
| Parabolic SAR step=0.01, maxStep=0.22 |
9.1% | -80.7% | 0.42 | 0.11 | 16.8x | 400 | 54% |
| SMA 크로스오버 fast=14, slow=54 |
8.4% | -74.5% | 0.40 | 0.11 | 13.5x | 179 | 57% |
| ADX / DI 방향성 period=15, threshold=6 |
7.9% | -78.2% | 0.39 | 0.10 | 11.7x | 623 | 55% |
| EMA 크로스오버 fast=26, slow=43 |
6.8% | -87.0% | 0.36 | 0.08 | 8.5x | 149 | 57% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=27, mult=3.1 |
5.5% | -67.8% | 0.33 | 0.08 | 5.6x | 103 | 24% |
| MACD fast=19, slow=51, signal=12 |
4.3% | -92.9% | 0.30 | 0.05 | 3.8x | 389 | 51% |
| ROC 모멘텀 n=74, threshold=0 |
4.1% | -86.4% | 0.29 | 0.05 | 3.6x | 387 | 57% |
| 볼린저 밴드 돌파 n=24, k=1.1 |
3.1% | -80.5% | 0.25 | 0.04 | 2.7x | 408 | 43% |
| Buy and hold | 6.6% | -98.2% | 0.41 | 0.07 | 7.8x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 22 days
- Sell — Sell when price breaks below the lowest low of the last 43 days