Trend-Following Backtester · Guide · backtest 한국어
equity · US
Icahn Enterprises L.P. backtest
10 trend-following strategies were compared on the full daily history of Icahn Enterprises L.P.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.7%, MDD -41.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.8%, drawdown -95.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.4%, MDD -56.0%, Sharpe 0.31, 46% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR 0.7%, MDD -41.9%, exposure 9%).
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=42, slow=204 |
4.4% | -56.0% | 0.31 | 0.08 | 5.3x | 52 | 46% |
| EMA 크로스오버 fast=38, slow=175 |
3.1% | -67.0% | 0.25 | 0.05 | 3.3x | 58 | 47% |
| Donchian 채널 돌파 entryN=83, exitN=61 |
2.9% | -58.7% | 0.24 | 0.05 | 3.0x | 60 | 41% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
2.3% | -57.4% | 0.23 | 0.04 | 2.4x | 74 | 14% |
| MACD fast=19, slow=40, signal=18 |
0.0% | -76.7% | 0.13 | 0.00 | 1.0x | 407 | 51% |
| ADX / DI 방향성 period=26, threshold=31 |
0.7% | -41.9% | 0.12 | 0.02 | 1.3x | 48 | 9% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=28, mult=2.4 |
0.4% | -60.9% | 0.10 | 0.01 | 1.2x | 162 | 13% |
| ROC 모멘텀 n=68, threshold=0.13 |
0.0% | -68.9% | 0.08 | 0.00 | 1.0x | 250 | 18% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-2.8% | -81.0% | 0.01 | -0.03 | 0.3x | 576 | 51% |
| Supertrend period=15, mult=5 |
-3.5% | -93.7% | -0.03 | -0.04 | 0.2x | 137 | 46% |
| Buy and hold | -1.8% | -95.2% | 0.14 | -0.02 | 0.5x | 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 42-day average price crosses above the 204-day average
- Sell — Sell (to cash) when the 42-day average falls below the 204-day average