Trend-Following Backtester · Guide · backtest 한국어
equity · DK
ISS A/S backtest
10 trend-following strategies were compared on the full daily history of ISS A/S. 3 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.9%, MDD -30.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 3.7%, drawdown -75.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.9%, MDD -30.8%, Sharpe 0.53, 51% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 44.5%p (CAGR 7.9%, MDD -30.8%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=42, slow=211 |
7.9% | -30.8% | 0.53 | 0.26 | 2.6x | 13 | 51% |
| ROC 모멘텀 n=148, threshold=0.11 |
5.0% | -31.4% | 0.42 | 0.16 | 1.8x | 67 | 32% |
| EMA 크로스오버 fast=54, slow=100 |
5.8% | -48.4% | 0.41 | 0.12 | 2.0x | 17 | 51% |
| Donchian 채널 돌파 entryN=87, exitN=86 |
3.4% | -53.8% | 0.28 | 0.06 | 1.5x | 17 | 52% |
| ADX / DI 방향성 period=35, threshold=28 |
0.5% | -8.2% | 0.15 | 0.06 | 1.1x | 2 | 2% |
| Supertrend period=28, mult=4.3 |
0.2% | -63.7% | 0.12 | 0.00 | 1.0x | 53 | 52% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=8, mult=3.1 |
0.5% | -47.4% | 0.10 | 0.01 | 1.1x | 41 | 30% |
| 볼린저 밴드 돌파 n=53, k=3.1 |
0.2% | -28.5% | 0.07 | 0.01 | 1.0x | 22 | 18% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-1.6% | -58.7% | 0.03 | -0.03 | 0.8x | 192 | 55% |
| MACD fast=6, slow=36, signal=13 |
-4.3% | -62.8% | -0.10 | -0.07 | 0.6x | 248 | 52% |
| Buy and hold | 3.7% | -75.2% | 0.27 | 0.05 | 1.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 42-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 42-day average falls below the 211-day average