Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Intact Financial Corporation backtest
10 trend-following strategies were compared on the full daily history of Intact Financial Corporation. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 9.5%, MDD -31.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.0%, drawdown -56.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 9.5%, MDD -31.0%, Sharpe 0.64, 77% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 25.5%p (CAGR 9.5%, MDD -31.0%, exposure 77%).
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=139, slow=146 |
9.5% | -31.0% | 0.64 | 0.30 | 7.1x | 13 | 77% |
| SMA 크로스오버 fast=97, slow=246 |
8.1% | -31.0% | 0.57 | 0.26 | 5.4x | 15 | 72% |
| Donchian 채널 돌파 entryN=26, exitN=82 |
7.9% | -44.3% | 0.53 | 0.18 | 5.2x | 35 | 81% |
| ROC 모멘텀 n=134, threshold=-0.05 |
5.4% | -48.1% | 0.40 | 0.11 | 3.1x | 117 | 82% |
| 볼린저 밴드 돌파 n=40, k=3 |
2.7% | -17.8% | 0.39 | 0.15 | 1.8x | 46 | 20% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=28, mult=3.8 |
2.1% | -24.7% | 0.30 | 0.09 | 1.6x | 42 | 24% |
| Supertrend period=18, mult=5 |
2.8% | -61.2% | 0.25 | 0.05 | 1.8x | 55 | 67% |
| ADX / DI 방향성 period=37, threshold=26 |
1.2% | -15.0% | 0.24 | 0.08 | 1.3x | 18 | 8% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.0% | -70.0% | -0.12 | -0.04 | 0.5x | 186 | 59% |
| MACD fast=19, slow=31, signal=17 |
-8.1% | -88.7% | -0.51 | -0.09 | 0.2x | 306 | 50% |
| Buy and hold | 11.0% | -56.5% | 0.59 | 0.19 | 9.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 139-day EMA crosses above the 146-day EMA
- Sell — Sell when the 139-day EMA falls below the 146-day EMA