Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ingredion Incorporated backtest
10 trend-following strategies were compared on the full daily history of Ingredion Incorporated. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -64.6%).
Sharpe leader (same as main): Supertrend — CAGR 4.6%, MDD -47.4%, Sharpe 0.32, 59% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=20, mult=3.7 |
4.6% | -47.4% | 0.32 | 0.10 | 3.7x | 132 | 59% |
| SMA 크로스오버 fast=41, slow=65 |
4.1% | -51.2% | 0.29 | 0.08 | 3.1x | 106 | 58% |
| Donchian 채널 돌파 entryN=17, exitN=49 |
3.9% | -55.8% | 0.28 | 0.07 | 3.0x | 103 | 73% |
| ROC 모멘텀 n=32, threshold=-0.11 |
2.9% | -68.0% | 0.24 | 0.04 | 2.3x | 161 | 91% |
| EMA 크로스오버 fast=42, slow=197 |
2.4% | -50.9% | 0.22 | 0.05 | 2.0x | 40 | 63% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.3% | -65.5% | 0.05 | -0.02 | 0.7x | 239 | 57% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=17, mult=3.3 |
-0.7% | -62.2% | 0.01 | -0.01 | 0.8x | 88 | 30% |
| ADX / DI 방향성 period=36, threshold=17 |
-0.7% | -45.1% | 0.00 | -0.01 | 0.8x | 100 | 19% |
| 볼린저 밴드 돌파 n=27, k=3.2 |
-0.5% | -29.3% | -0.04 | -0.02 | 0.9x | 42 | 8% |
| MACD fast=16, slow=58, signal=19 |
-3.6% | -73.1% | -0.08 | -0.05 | 0.3x | 323 | 50% |
| Buy and hold | 6.9% | -64.6% | 0.37 | 0.11 | 6.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 20-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)