Trend-Following Backtester · Guide · backtest 한국어
equity · US
Intrepid Potash, Inc backtest
10 trend-following strategies were compared on the full daily history of Intrepid Potash, Inc. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.0%, MDD -46.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.7%, drawdown -99.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.6%, MDD -72.0%, Sharpe 0.36, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 27.1%p (CAGR 2.0%, MDD -46.3%, exposure 6%).
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=97, exitN=71 |
6.6% | -72.0% | 0.36 | 0.09 | 3.2x | 16 | 32% |
| ROC 모멘텀 n=148, threshold=0.01 |
4.5% | -76.8% | 0.31 | 0.06 | 2.2x | 145 | 42% |
| SMA 크로스오버 fast=35, slow=180 |
4.4% | -72.1% | 0.31 | 0.06 | 2.2x | 30 | 39% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=9, mult=3.9 |
4.7% | -49.5% | 0.30 | 0.09 | 2.3x | 20 | 11% |
| 볼린저 밴드 돌파 n=52, k=3.5 |
4.1% | -51.8% | 0.28 | 0.08 | 2.1x | 14 | 7% |
| EMA 크로스오버 fast=53, slow=114 |
3.4% | -72.8% | 0.28 | 0.05 | 1.8x | 24 | 38% |
| ADX / DI 방향성 period=25, threshold=30 |
2.0% | -46.3% | 0.20 | 0.04 | 1.4x | 16 | 6% |
| MACD fast=11, slow=42, signal=14 |
-11.0% | -98.8% | 0.04 | -0.11 | 0.1x | 267 | 51% |
| Supertrend period=8, mult=5 |
-8.6% | -97.0% | 0.02 | -0.09 | 0.2x | 61 | 49% |
| Parabolic SAR step=0.01, maxStep=0.28 |
-10.0% | -94.3% | 0.01 | -0.11 | 0.1x | 239 | 47% |
| Buy and hold | -13.7% | -99.1% | 0.14 | -0.14 | 0.1x | 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 97 days
- Sell — Sell when price breaks below the lowest low of the last 71 days