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 10.4%, drawdown -66.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 6.1%, MDD -47.3%, Sharpe 0.36, 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 |
6.1% | -47.3% | 0.36 | 0.13 | 3.3x | 37 | 61% |
| Supertrend period=26, mult=4.6 |
5.6% | -48.3% | 0.34 | 0.12 | 2.9x | 55 | 59% |
| Donchian 채널 돌파 entryN=117, exitN=61 |
4.8% | -34.7% | 0.32 | 0.14 | 2.5x | 27 | 52% |
| SMA 크로스오버 fast=32, slow=125 |
4.7% | -50.7% | 0.31 | 0.09 | 2.5x | 43 | 62% |
| ROC 모멘텀 n=104, threshold=-0.12 |
4.4% | -63.6% | 0.29 | 0.07 | 2.4x | 107 | 80% |
| MACD fast=24, slow=59, signal=33 |
4.0% | -56.2% | 0.28 | 0.07 | 2.2x | 131 | 50% |
| 볼린저 밴드 돌파 n=47, k=2.8 |
1.6% | -37.2% | 0.18 | 0.04 | 1.4x | 45 | 22% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=29, mult=2.4 |
-0.3% | -57.9% | 0.08 | -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 |
-8.0% | -91.7% | -0.21 | -0.09 | 0.2x | 373 | 53% |
| Buy and hold | 10.4% | -66.0% | 0.46 | 0.16 | 7.2x | 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