Trend-Following Backtester · Guide · backtest 한국어
equity · FR
ID Logistics Group backtest
10 trend-following strategies were compared on the full daily history of ID Logistics Group. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 21.1%, drawdown -38.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 10.6%, MDD -23.1%, Sharpe 0.77, 31% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.3%, MDD -48.6%, exposure 66%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=3.1 |
10.6% | -23.1% | 0.77 | 0.46 | 4.3x | 28 | 31% |
| MACD fast=7, slow=29, signal=13 |
14.0% | -36.7% | 0.77 | 0.38 | 6.5x | 250 | 51% |
| Supertrend period=15, mult=1.9 |
13.9% | -30.1% | 0.73 | 0.46 | 6.5x | 214 | 59% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=2.9 |
11.1% | -32.1% | 0.72 | 0.34 | 4.5x | 58 | 42% |
| Donchian 채널 돌파 entryN=85, exitN=38 |
12.1% | -39.9% | 0.72 | 0.30 | 5.2x | 32 | 46% |
| SMA 크로스오버 fast=55, slow=85 |
14.3% | -48.6% | 0.71 | 0.29 | 6.8x | 46 | 66% |
| Parabolic SAR step=0.01, maxStep=0.38 |
12.0% | -42.7% | 0.65 | 0.28 | 5.1x | 171 | 56% |
| ROC 모멘텀 n=88, threshold=0.07 |
10.0% | -43.0% | 0.60 | 0.23 | 3.9x | 160 | 47% |
| EMA 크로스오버 fast=19, slow=179 |
9.8% | -57.0% | 0.52 | 0.17 | 3.8x | 36 | 70% |
| ADX / DI 방향성 period=13, threshold=11 |
4.3% | -57.3% | 0.31 | 0.08 | 1.8x | 279 | 58% |
| Buy and hold | 21.1% | -38.5% | 0.82 | 0.55 | 15.7x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 59-day middle average