Trend-Following Backtester · Guide · backtest 한국어
equity · GB
IntegraFin Holdings PLC backtest
10 trend-following strategies were compared on the full daily history of IntegraFin Holdings PLC. 7 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.6%, MDD -24.0%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.5%, drawdown -65.6%).
Sharpe leader (same as main): MACD — CAGR 13.2%, MDD -29.6%, Sharpe 0.67, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 35.9%p (CAGR 4.6%, MDD -24.0%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=20, slow=23, signal=17 |
13.2% | -29.6% | 0.67 | 0.45 | 2.8x | 92 | 52% |
| Supertrend period=18, mult=2.2 |
9.9% | -33.6% | 0.53 | 0.29 | 2.2x | 63 | 56% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=29, mult=1.6 |
6.8% | -33.9% | 0.46 | 0.20 | 1.7x | 43 | 35% |
| 볼린저 밴드 돌파 n=22, k=2.5 |
4.6% | -24.0% | 0.40 | 0.19 | 1.5x | 42 | 20% |
| ADX / DI 방향성 period=13, threshold=24 |
4.8% | -30.3% | 0.37 | 0.16 | 1.5x | 74 | 29% |
| EMA 크로스오버 fast=29, slow=212 |
5.1% | -31.4% | 0.34 | 0.16 | 1.5x | 7 | 59% |
| Donchian 채널 돌파 entryN=19, exitN=13 |
4.9% | -42.0% | 0.34 | 0.12 | 1.5x | 51 | 47% |
| ROC 모멘텀 n=18, threshold=0.04 |
4.0% | -31.9% | 0.31 | 0.13 | 1.4x | 166 | 33% |
| Parabolic SAR step=0.015, maxStep=0.12 |
4.4% | -44.3% | 0.30 | 0.10 | 1.4x | 161 | 52% |
| SMA 크로스오버 fast=46, slow=202 |
3.3% | -35.2% | 0.26 | 0.09 | 1.3x | 11 | 58% |
| Buy and hold | 4.5% | -65.6% | 0.30 | 0.07 | 1.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (20/23) crosses above its 17-day signal line
- Sell — Sell when the MACD line crosses back below the signal line