Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ingevity Corporation backtest
10 trend-following strategies were compared on the full daily history of Ingevity Corporation. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.2%, MDD -30.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.7%, drawdown -76.2%).
Sharpe leader (same as main): Supertrend — CAGR 18.2%, MDD -30.5%, Sharpe 0.73, 53% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 45.7%p (CAGR 18.2%, MDD -30.5%, exposure 53%).
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=11, mult=2.1 |
18.2% | -30.5% | 0.73 | 0.60 | 5.5x | 108 | 53% |
| MACD fast=17, slow=34, signal=4 |
14.3% | -40.6% | 0.61 | 0.35 | 3.9x | 214 | 49% |
| Parabolic SAR step=0.025, maxStep=0.34 |
9.4% | -55.3% | 0.45 | 0.17 | 2.5x | 258 | 52% |
| Donchian 채널 돌파 entryN=22, exitN=79 |
8.6% | -59.4% | 0.41 | 0.15 | 2.3x | 23 | 83% |
| SMA 크로스오버 fast=59, slow=101 |
7.4% | -48.8% | 0.39 | 0.15 | 2.1x | 27 | 60% |
| 볼린저 밴드 돌파 n=13, k=1.2 |
6.4% | -39.3% | 0.37 | 0.16 | 1.9x | 212 | 42% |
| ROC 모멘텀 n=128, threshold=0.09 |
6.0% | -45.7% | 0.36 | 0.13 | 1.8x | 76 | 47% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=11, mult=0.6 |
5.9% | -48.8% | 0.35 | 0.12 | 1.8x | 196 | 47% |
| ADX / DI 방향성 period=23, threshold=41 |
1.6% | -8.1% | 0.31 | 0.20 | 1.2x | 2 | 1% |
| EMA 크로스오버 fast=63, slow=206 |
3.6% | -63.9% | 0.26 | 0.06 | 1.4x | 11 | 51% |
| Buy and hold | 10.7% | -76.2% | 0.45 | 0.14 | 2.8x | 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) — 11-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)