Trend-Following Backtester · Guide · backtest 한국어
equity · US
IDEXX Laboratories, Inc. backtest
10 trend-following strategies were compared on the full daily history of IDEXX Laboratories, 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 19.9%, drawdown -81.4%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -58.8%, Sharpe 0.56, 72% 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=18, slow=252 |
12.9% | -58.8% | 0.56 | 0.22 | 70.8x | 58 | 72% |
| EMA 크로스오버 fast=13, slow=194 |
12.3% | -78.3% | 0.55 | 0.16 | 59.6x | 80 | 72% |
| Donchian 채널 돌파 entryN=105, exitN=42 |
10.3% | -60.7% | 0.54 | 0.17 | 31.4x | 70 | 51% |
| ROC 모멘텀 n=136, threshold=-0.01 |
10.2% | -64.9% | 0.48 | 0.16 | 29.9x | 246 | 72% |
| Supertrend period=12, mult=5 |
9.8% | -78.1% | 0.47 | 0.13 | 26.6x | 100 | 64% |
| 볼린저 밴드 돌파 n=58, k=1.4 |
6.4% | -64.2% | 0.38 | 0.10 | 8.7x | 194 | 50% |
| ADX / DI 방향성 period=45, threshold=13 |
5.5% | -64.6% | 0.37 | 0.08 | 6.5x | 138 | 39% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=23, mult=0.9 |
5.0% | -86.8% | 0.32 | 0.06 | 5.5x | 286 | 59% |
| MACD fast=19, slow=47, signal=18 |
2.0% | -52.2% | 0.21 | 0.04 | 2.0x | 389 | 51% |
| Parabolic SAR step=0.015, maxStep=0.32 |
-0.8% | -69.8% | 0.10 | -0.01 | 0.8x | 614 | 55% |
| Buy and hold | 19.9% | -81.4% | 0.67 | 0.24 | 588.3x | 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 18-day average price crosses above the 252-day average
- Sell — Sell (to cash) when the 18-day average falls below the 252-day average