Trend-Following Backtester · Guide · backtest 한국어
equity · TH
IRPC Public Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of IRPC Public Co., Ltd.. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.8%, MDD -28.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.7%, drawdown -92.6%).
Sharpe leader (same as main): MACD — CAGR 10.0%, MDD -74.3%, Sharpe 0.46, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.7%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 6.8%, MDD -28.8%, exposure 8%).
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=22, slow=40, signal=23 |
10.0% | -74.3% | 0.46 | 0.14 | 12.8x | 213 | 49% |
| Donchian 채널 돌파 entryN=123, exitN=72 |
8.5% | -39.2% | 0.45 | 0.22 | 8.9x | 25 | 37% |
| 볼린저 밴드 돌파 n=32, k=3.5 |
6.8% | -28.8% | 0.44 | 0.24 | 5.7x | 36 | 8% |
| SMA 크로스오버 fast=15, slow=164 |
7.8% | -61.7% | 0.41 | 0.13 | 7.4x | 51 | 42% |
| EMA 크로스오버 fast=34, slow=116 |
7.3% | -61.1% | 0.39 | 0.12 | 6.5x | 41 | 46% |
| Parabolic SAR step=0.01, maxStep=0.32 |
7.0% | -71.2% | 0.37 | 0.10 | 6.0x | 272 | 49% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=25, mult=3.8 |
4.3% | -34.8% | 0.35 | 0.12 | 3.1x | 34 | 5% |
| ADX / DI 방향성 period=9, threshold=29 |
5.5% | -74.3% | 0.33 | 0.07 | 4.1x | 287 | 24% |
| ROC 모멘텀 n=93, threshold=0.11 |
4.3% | -61.6% | 0.29 | 0.07 | 3.1x | 181 | 26% |
| Supertrend period=16, mult=2.3 |
3.6% | -69.7% | 0.27 | 0.05 | 2.6x | 237 | 47% |
| Buy and hold | -4.7% | -92.6% | 0.11 | -0.05 | 0.3x | 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 (22/40) crosses above its 23-day signal line
- Sell — Sell when the MACD line crosses back below the signal line