Trend-Following Backtester · Guide · backtest 한국어
equity · US
INNOVATE Corp. backtest
10 trend-following strategies were compared on the full daily history of INNOVATE Corp.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.6%, MDD -29.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.0%, drawdown -98.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 19.6%, MDD -29.8%, Sharpe 0.86, 14% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 28.6%p higher than buy and hold, while drawdown improves by 68.3%p (CAGR 19.6%, MDD -29.8%, exposure 14%).
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=19, atrPeriod=18, mult=2.6 |
19.6% | -29.8% | 0.86 | 0.66 | 21.3x | 48 | 14% |
| 볼린저 밴드 돌파 n=12, k=2.4 |
19.6% | -53.9% | 0.75 | 0.36 | 21.0x | 126 | 18% |
| Donchian 채널 돌파 entryN=125, exitN=5 |
12.6% | -34.7% | 0.70 | 0.36 | 7.5x | 40 | 10% |
| Supertrend period=24, mult=4.8 |
15.1% | -68.9% | 0.52 | 0.22 | 11.0x | 48 | 44% |
| ROC 모멘텀 n=14, threshold=0.12 |
9.2% | -67.0% | 0.44 | 0.14 | 4.5x | 222 | 17% |
| Parabolic SAR step=0.005, maxStep=0.2 |
9.2% | -84.5% | 0.40 | 0.11 | 4.5x | 126 | 46% |
| ADX / DI 방향성 period=12, threshold=29 |
7.6% | -72.1% | 0.40 | 0.11 | 3.5x | 150 | 21% |
| SMA 크로스오버 fast=52, slow=77 |
6.9% | -89.0% | 0.36 | 0.08 | 3.1x | 63 | 48% |
| MACD fast=6, slow=36, signal=8 |
0.3% | -91.4% | 0.23 | 0.00 | 1.1x | 395 | 48% |
| EMA 크로스오버 fast=6, slow=69 |
-5.4% | -85.2% | 0.10 | -0.06 | 0.4x | 112 | 45% |
| Buy and hold | -9.0% | -98.1% | 0.22 | -0.09 | 0.2x | 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 19-day average + 2.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average