Trend-Following Backtester · Guide · backtest 한국어
equity · US
IES Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of IES Holdings, Inc.. 6 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -31.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.2%, drawdown -99.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.4%, MDD -31.7%, Sharpe 0.53, 15% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.4%, MDD -90.1%, exposure 67%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.2%p higher than buy and hold, while drawdown improves by 67.9%p (CAGR 8.4%, MDD -31.7%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=49, k=3.2 |
8.4% | -31.7% | 0.53 | 0.26 | 10.0x | 40 | 15% |
| Donchian 채널 돌파 entryN=36, exitN=71 |
14.4% | -90.1% | 0.52 | 0.16 | 46.8x | 55 | 67% |
| SMA 크로스오버 fast=58, slow=75 |
8.4% | -82.0% | 0.40 | 0.10 | 10.1x | 107 | 56% |
| EMA 크로스오버 fast=31, slow=79 |
8.3% | -87.1% | 0.40 | 0.10 | 9.9x | 75 | 54% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=18, mult=3.8 |
6.1% | -47.6% | 0.39 | 0.13 | 5.5x | 56 | 16% |
| Supertrend period=5, mult=5 |
6.0% | -81.0% | 0.35 | 0.07 | 5.3x | 91 | 54% |
| ROC 모멘텀 n=148, threshold=0.04 |
2.9% | -90.7% | 0.27 | 0.03 | 2.2x | 227 | 50% |
| MACD fast=17, slow=42, signal=19 |
0.9% | -86.7% | 0.26 | 0.01 | 1.3x | 324 | 51% |
| ADX / DI 방향성 period=14, threshold=31 |
2.3% | -44.1% | 0.22 | 0.05 | 1.9x | 122 | 14% |
| Parabolic SAR step=0.015, maxStep=0.22 |
-8.0% | -97.7% | 0.05 | -0.08 | 0.1x | 480 | 53% |
| Buy and hold | 3.2% | -99.5% | 0.39 | 0.03 | 2.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 49-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 49-day middle average