Trend-Following Backtester · Guide · backtest 한국어
equity · AU
IGO Limited backtest
10 trend-following strategies were compared on the full daily history of IGO Limited. 3 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 20.9%, MDD -39.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 16.6%, drawdown -86.9%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 20.9%, MDD -39.1%, Sharpe 0.68, 58% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 47.8%p (CAGR 20.9%, MDD -39.1%, exposure 58%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=16, slow=89 |
20.9% | -39.1% | 0.68 | 0.53 | 106.8x | 71 | 58% |
| SMA 크로스오버 fast=16, slow=160 |
19.7% | -53.6% | 0.66 | 0.37 | 84.5x | 45 | 58% |
| Donchian 채널 돌파 entryN=60, exitN=50 |
17.5% | -58.8% | 0.62 | 0.30 | 53.1x | 48 | 53% |
| Supertrend period=7, mult=4.9 |
14.0% | -56.7% | 0.53 | 0.25 | 25.4x | 81 | 56% |
| ROC 모멘텀 n=109, threshold=0.01 |
13.4% | -72.3% | 0.52 | 0.19 | 22.2x | 215 | 57% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=17, mult=4 |
6.4% | -27.1% | 0.45 | 0.24 | 4.6x | 12 | 4% |
| ADX / DI 방향성 period=33, threshold=8 |
7.6% | -60.5% | 0.38 | 0.13 | 6.2x | 335 | 50% |
| MACD fast=17, slow=33, signal=15 |
7.6% | -73.1% | 0.38 | 0.10 | 6.2x | 311 | 51% |
| 볼린저 밴드 돌파 n=22, k=3.1 |
4.8% | -24.6% | 0.37 | 0.20 | 3.2x | 14 | 3% |
| Parabolic SAR step=0.02, maxStep=0.12 |
6.8% | -86.2% | 0.36 | 0.08 | 5.1x | 466 | 52% |
| Buy and hold | 16.6% | -86.9% | 0.55 | 0.19 | 43.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 16-day EMA crosses above the 89-day EMA
- Sell — Sell when the 16-day EMA falls below the 89-day EMA