Trend-Following Backtester · Guide · backtest 한국어
equity · JP
Invincible Investment Corp. backtest
10 trend-following strategies were compared on the full daily history of Invincible Investment Corp.. 9 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.3%, MDD -25.6%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.7%, drawdown -93.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 12.6%, MDD -47.1%, Sharpe 0.65, 51% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.2%p higher than buy and hold, while drawdown improves by 46.4%p (CAGR 8.3%, MDD -25.6%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=39, slow=68 |
12.6% | -47.1% | 0.65 | 0.27 | 10.6x | 42 | 51% |
| Donchian 채널 돌파 entryN=153, exitN=80 |
11.5% | -41.6% | 0.64 | 0.28 | 8.8x | 16 | 40% |
| ADX / DI 방향성 period=34, threshold=22 |
8.3% | -25.6% | 0.63 | 0.33 | 5.0x | 32 | 15% |
| SMA 크로스오버 fast=20, slow=179 |
11.7% | -44.0% | 0.62 | 0.27 | 9.1x | 28 | 51% |
| 볼린저 밴드 돌파 n=31, k=3.5 |
6.9% | -51.7% | 0.59 | 0.13 | 3.8x | 18 | 8% |
| ROC 모멘텀 n=142, threshold=0.03 |
9.6% | -43.2% | 0.54 | 0.22 | 6.3x | 112 | 47% |
| Supertrend period=16, mult=5 |
9.2% | -54.6% | 0.49 | 0.17 | 5.8x | 54 | 54% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=21, mult=3.3 |
4.1% | -39.8% | 0.42 | 0.10 | 2.2x | 24 | 5% |
| Parabolic SAR step=0.01, maxStep=0.26 |
2.0% | -71.5% | 0.21 | 0.03 | 1.5x | 241 | 50% |
| MACD fast=16, slow=40, signal=13 |
-0.8% | -68.0% | 0.09 | -0.01 | 0.9x | 283 | 50% |
| Buy and hold | -0.7% | -93.5% | 0.17 | -0.01 | 0.9x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 39-day EMA crosses above the 68-day EMA
- Sell — Sell when the 39-day EMA falls below the 68-day EMA