Trend-Following Backtester · Guide · backtest 한국어
equity · US
InterDigital, Inc. backtest
10 trend-following strategies were compared on the full daily history of InterDigital, Inc.. 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 10.9%, drawdown -93.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.7%, MDD -88.8%, Sharpe 0.36, 49% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 7.3%, MDD -62.7%, exposure 9%.
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=54, slow=89 |
6.7% | -88.8% | 0.36 | 0.08 | 18.6x | 157 | 49% |
| 볼린저 밴드 돌파 n=54, k=3.5 |
7.3% | -62.7% | 0.36 | 0.12 | 23.5x | 42 | 9% |
| MACD fast=18, slow=47, signal=28 |
6.5% | -92.2% | 0.35 | 0.07 | 16.6x | 423 | 50% |
| ADX / DI 방향성 period=11, threshold=34 |
7.0% | -59.8% | 0.35 | 0.12 | 20.6x | 261 | 15% |
| Donchian 채널 돌파 entryN=56, exitN=71 |
2.3% | -97.1% | 0.28 | 0.02 | 2.8x | 91 | 58% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=23, mult=3.8 |
4.6% | -77.1% | 0.28 | 0.06 | 7.4x | 107 | 17% |
| Supertrend period=11, mult=3.7 |
2.4% | -97.4% | 0.27 | 0.03 | 2.9x | 225 | 53% |
| Parabolic SAR step=0.015, maxStep=0.18 |
1.4% | -92.0% | 0.25 | 0.02 | 1.9x | 712 | 49% |
| EMA 크로스오버 fast=46, slow=198 |
0.5% | -95.7% | 0.24 | 0.01 | 1.3x | 79 | 52% |
| ROC 모멘텀 n=90, threshold=-0.03 |
-2.6% | -97.7% | 0.18 | -0.03 | 0.3x | 502 | 56% |
| Buy and hold | 10.9% | -93.8% | 0.48 | 0.12 | 102.6x | 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 54-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 54-day average falls below the 89-day average