Trend-Following Backtester · Guide · backtest 한국어
equity · FR
Ipsos SA backtest
10 trend-following strategies were compared on the full daily history of Ipsos SA. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.7%, MDD -42.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 1.4%, drawdown -66.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.7%, MDD -42.8%, Sharpe 0.36, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 23.7%p (CAGR 5.7%, MDD -42.8%, exposure 55%).
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=12, slow=133 |
5.7% | -42.8% | 0.36 | 0.13 | 4.2x | 85 | 55% |
| EMA 크로스오버 fast=41, slow=91 |
4.9% | -49.7% | 0.32 | 0.10 | 3.4x | 49 | 55% |
| Donchian 채널 돌파 entryN=75, exitN=52 |
2.7% | -43.1% | 0.23 | 0.06 | 2.0x | 45 | 48% |
| ROC 모멘텀 n=107, threshold=0.01 |
1.9% | -55.8% | 0.19 | 0.03 | 1.6x | 225 | 53% |
| Supertrend period=12, mult=4.7 |
1.7% | -61.6% | 0.19 | 0.03 | 1.5x | 88 | 56% |
| ADX / DI 방향성 period=48, threshold=5 |
-1.0% | -48.5% | 0.06 | -0.02 | 0.8x | 245 | 51% |
| MACD fast=17, slow=63, signal=34 |
-1.6% | -57.0% | 0.04 | -0.03 | 0.7x | 209 | 51% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=17, mult=2.9 |
-1.6% | -49.6% | -0.02 | -0.03 | 0.7x | 88 | 34% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
-2.8% | -68.4% | -0.08 | -0.04 | 0.5x | 124 | 34% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-9.0% | -91.8% | -0.28 | -0.10 | 0.1x | 215 | 55% |
| Buy and hold | 1.4% | -66.6% | 0.21 | 0.02 | 1.4x | 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 12-day average price crosses above the 133-day average
- Sell — Sell (to cash) when the 12-day average falls below the 133-day average