Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ichor Holdings backtest
10 trend-following strategies were compared on the full daily history of Ichor Holdings. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 19.1%, drawdown -77.4%).
Sharpe leader (same as main): Supertrend — CAGR 17.2%, MDD -64.0%, Sharpe 0.58, 51% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3.7 |
17.2% | -64.0% | 0.58 | 0.27 | 4.7x | 52 | 51% |
| ADX / DI 방향성 period=33, threshold=22 |
11.4% | -36.5% | 0.53 | 0.31 | 2.9x | 14 | 11% |
| ROC 모멘텀 n=156, threshold=0.06 |
13.2% | -52.3% | 0.50 | 0.25 | 3.4x | 55 | 43% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=21, mult=4 |
10.1% | -54.0% | 0.45 | 0.19 | 2.5x | 24 | 23% |
| MACD fast=17, slow=26, signal=18 |
10.1% | -66.2% | 0.44 | 0.15 | 2.5x | 116 | 50% |
| Donchian 채널 돌파 entryN=23, exitN=77 |
6.2% | -78.9% | 0.38 | 0.08 | 1.8x | 28 | 71% |
| 볼린저 밴드 돌파 n=25, k=3 |
5.7% | -43.9% | 0.38 | 0.13 | 1.7x | 14 | 8% |
| SMA 크로스오버 fast=55, slow=178 |
5.7% | -62.6% | 0.35 | 0.09 | 1.7x | 13 | 46% |
| Parabolic SAR step=0.05, maxStep=0.12 |
5.7% | -78.6% | 0.34 | 0.07 | 1.7x | 270 | 52% |
| EMA 크로스오버 fast=26, slow=173 |
0.2% | -71.8% | 0.22 | 0.00 | 1.0x | 21 | 46% |
| Buy and hold | 19.1% | -77.4% | 0.60 | 0.25 | 5.5x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)