Trend-Following Backtester · Guide · backtest 한국어
equity · US
indie Semiconductor, Inc. backtest
10 trend-following strategies were compared on the full daily history of indie Semiconductor, Inc.. 9 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.0%, MDD -44.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR -13.2%, drawdown -89.9%).
Sharpe leader (same as main): MACD — CAGR 1.6%, MDD -61.2%, Sharpe 0.27, 48% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 2.0%, MDD -44.0%, exposure 27%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 2.0%, MDD -44.0%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=23, slow=47, signal=24 |
1.6% | -61.2% | 0.27 | 0.03 | 1.1x | 61 | 48% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
2.0% | -44.0% | 0.24 | 0.05 | 1.1x | 44 | 27% |
| Donchian 채널 돌파 entryN=13, exitN=53 |
-8.8% | -74.1% | 0.13 | -0.12 | 0.5x | 27 | 77% |
| SMA 크로스오버 fast=16, slow=40 |
-3.8% | -62.3% | 0.13 | -0.06 | 0.8x | 47 | 43% |
| Parabolic SAR step=0.035, maxStep=0.16 |
-5.3% | -82.5% | 0.12 | -0.06 | 0.7x | 176 | 47% |
| ADX / DI 방향성 period=7, threshold=24 |
-4.9% | -78.6% | 0.11 | -0.06 | 0.7x | 152 | 43% |
| Supertrend period=29, mult=4.1 |
-9.4% | -79.0% | -0.04 | -0.12 | 0.5x | 31 | 36% |
| EMA 크로스오버 fast=23, slow=51 |
-12.4% | -73.3% | -0.07 | -0.17 | 0.4x | 37 | 46% |
| ROC 모멘텀 n=20, threshold=0.11 |
-10.3% | -71.9% | -0.10 | -0.14 | 0.5x | 101 | 22% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=1.5 |
-13.5% | -77.2% | -0.18 | -0.17 | 0.4x | 46 | 28% |
| Buy and hold | -13.2% | -89.9% | 0.14 | -0.15 | 0.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (23/47) crosses above its 24-day signal line
- Sell — Sell when the MACD line crosses back below the signal line