Trend-Following Backtester · Guide · backtest 한국어
equity · US
ICF International, Inc. backtest
10 trend-following strategies were compared on the full daily history of ICF International, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.0%, drawdown -66.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 5.6%, MDD -47.3%, Sharpe 0.35, 61% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=59, slow=85 |
5.6% | -47.3% | 0.35 | 0.12 | 3.0x | 37 | 61% |
| Supertrend period=26, mult=4.6 |
5.1% | -48.3% | 0.32 | 0.11 | 2.7x | 55 | 59% |
| Donchian 채널 돌파 entryN=117, exitN=61 |
4.7% | -34.7% | 0.32 | 0.13 | 2.5x | 26 | 52% |
| SMA 크로스오버 fast=32, slow=125 |
4.2% | -50.7% | 0.29 | 0.08 | 2.3x | 43 | 62% |
| ROC 모멘텀 n=104, threshold=-0.12 |
3.9% | -63.6% | 0.28 | 0.06 | 2.1x | 107 | 80% |
| MACD fast=24, slow=59, signal=33 |
3.5% | -56.2% | 0.26 | 0.06 | 2.0x | 131 | 50% |
| 볼린저 밴드 돌파 n=47, k=2.8 |
1.9% | -33.9% | 0.21 | 0.06 | 1.5x | 44 | 22% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=2.4 |
-0.8% | -57.9% | 0.05 | -0.01 | 0.9x | 87 | 37% |
| ADX / DI 방향성 period=36, threshold=28 |
-0.2% | -8.3% | -0.05 | -0.02 | 1.0x | 4 | 0% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-8.4% | -91.7% | -0.24 | -0.09 | 0.2x | 373 | 53% |
| Buy and hold | 10.0% | -66.0% | 0.45 | 0.15 | 6.6x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 59-day EMA crosses above the 85-day EMA
- Sell — Sell when the 59-day EMA falls below the 85-day EMA