Trend-Following Backtester · Guide · backtest 한국어
equity · US
ICON plc backtest
10 trend-following strategies were compared on the full daily history of ICON plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.2%, drawdown -76.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -69.0%, Sharpe 0.45, 67% 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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=225 |
9.4% | -69.0% | 0.45 | 0.14 | 12.6x | 30 | 67% |
| Donchian 채널 돌파 entryN=9, exitN=44 |
8.7% | -78.0% | 0.42 | 0.11 | 10.5x | 101 | 86% |
| EMA 크로스오버 fast=11, slow=197 |
6.2% | -61.1% | 0.36 | 0.10 | 5.5x | 75 | 67% |
| ROC 모멘텀 n=140, threshold=-0.01 |
5.3% | -68.6% | 0.32 | 0.08 | 4.3x | 200 | 69% |
| MACD fast=13, slow=56, signal=24 |
4.5% | -53.2% | 0.30 | 0.08 | 3.5x | 292 | 51% |
| Supertrend period=8, mult=3.7 |
4.2% | -64.4% | 0.29 | 0.07 | 3.2x | 135 | 60% |
| Parabolic SAR step=0.005, maxStep=0.2 |
0.7% | -77.9% | 0.17 | 0.01 | 1.2x | 243 | 55% |
| 볼린저 밴드 돌파 n=56, k=1.3 |
-1.0% | -58.8% | 0.08 | -0.02 | 0.7x | 177 | 49% |
| ADX / DI 방향성 period=22, threshold=31 |
-0.5% | -43.5% | 0.00 | -0.01 | 0.9x | 42 | 6% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=8, mult=1.1 |
-3.4% | -71.5% | -0.02 | -0.05 | 0.4x | 303 | 48% |
| Buy and hold | 12.2% | -76.9% | 0.49 | 0.16 | 25.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 225-day average
- Sell — Sell (to cash) when the 58-day average falls below the 225-day average