Trend-Following Backtester · Guide · backtest 한국어
equity · GB
ICG plc backtest
10 trend-following strategies were compared on the full daily history of ICG plc. 3 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.0%, MDD -52.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR 9.2%, drawdown -89.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 6.9%, MDD -25.3%, Sharpe 0.76, 22% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.6%, MDD -70.7%, exposure 83%.
Return/drawdown alternative: Supertrend — CAGR is 2.3%p lower than buy and hold, while drawdown improves by 64.4%p (CAGR 10.0%, MDD -52.3%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=24, threshold=27 |
6.9% | -25.3% | 0.76 | 0.27 | 8.5x | 94 | 22% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
4.6% | -17.7% | 0.66 | 0.26 | 4.3x | 30 | 10% |
| Donchian 채널 돌파 entryN=10, exitN=53 |
13.6% | -70.7% | 0.60 | 0.19 | 60.5x | 119 | 83% |
| Parabolic SAR step=0.015, maxStep=0.12 |
10.5% | -66.0% | 0.56 | 0.16 | 24.8x | 463 | 55% |
| Supertrend period=22, mult=2.7 |
10.0% | -52.3% | 0.54 | 0.19 | 21.7x | 299 | 56% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=15, mult=3.7 |
4.7% | -31.2% | 0.47 | 0.15 | 4.3x | 96 | 22% |
| EMA 크로스오버 fast=11, slow=15 |
7.4% | -59.7% | 0.43 | 0.12 | 9.8x | 323 | 59% |
| MACD fast=15, slow=30, signal=12 |
7.2% | -74.3% | 0.41 | 0.10 | 9.2x | 445 | 50% |
| SMA 크로스오버 fast=67, slow=174 |
6.1% | -70.2% | 0.37 | 0.09 | 6.6x | 56 | 60% |
| ROC 모멘텀 n=43, threshold=-0.04 |
6.0% | -79.0% | 0.36 | 0.08 | 6.6x | 325 | 72% |
| Buy and hold | 9.2% | -89.7% | 0.43 | 0.10 | 16.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 24-day) is ≥ 27
- Sell — Sell when direction flips or the trend weakens (ADX < 27)