Trend-Following Backtester · Guide · backtest 한국어
equity · TW
International Games System Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of International Games System Co., Ltd.. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 23.8%, MDD -33.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.4%, drawdown -84.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.0%, MDD -35.0%, Sharpe 1.01, 32% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 49.1%p (CAGR 23.8%, MDD -33.5%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=88, threshold=0.13 |
27.0% | -35.0% | 1.01 | 0.77 | 86.9x | 90 | 32% |
| ADX / DI 방향성 period=37, threshold=18 |
23.8% | -33.5% | 0.98 | 0.71 | 54.0x | 34 | 28% |
| Donchian 채널 돌파 entryN=112, exitN=51 |
25.0% | -46.0% | 0.95 | 0.54 | 64.3x | 18 | 37% |
| SMA 크로스오버 fast=29, slow=124 |
25.7% | -53.4% | 0.91 | 0.48 | 71.9x | 38 | 47% |
| 볼린저 밴드 돌파 n=59, k=2 |
21.6% | -43.7% | 0.87 | 0.50 | 38.8x | 52 | 31% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=18, mult=4 |
18.7% | -43.7% | 0.87 | 0.43 | 24.6x | 32 | 20% |
| EMA 크로스오버 fast=23, slow=51 |
20.6% | -59.7% | 0.77 | 0.35 | 32.9x | 74 | 50% |
| Parabolic SAR step=0.01, maxStep=0.1 |
18.7% | -54.0% | 0.73 | 0.35 | 24.7x | 212 | 50% |
| Supertrend period=27, mult=5 |
16.9% | -58.1% | 0.67 | 0.29 | 18.4x | 55 | 52% |
| MACD fast=17, slow=37, signal=16 |
12.8% | -63.1% | 0.57 | 0.20 | 9.5x | 204 | 49% |
| Buy and hold | 15.4% | -84.2% | 0.56 | 0.18 | 14.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 88-day return is greater than 13%
- Sell — Sell when the 88-day return drops to 13% or below