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.. 10 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
10 of 10 beat buy and hold (CAGR -15.1%, drawdown -89.9%).
Sharpe leader (same as main): MACD — CAGR 5.3%, MDD -61.2%, Sharpe 0.34, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 20.4%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 |
5.3% | -61.2% | 0.34 | 0.09 | 1.4x | 60 | 47% |
| 볼린저 밴드 돌파 n=33, k=1.8 |
2.0% | -44.0% | 0.24 | 0.05 | 1.1x | 44 | 27% |
| ADX / DI 방향성 period=7, threshold=24 |
-2.5% | -78.6% | 0.16 | -0.03 | 0.8x | 146 | 43% |
| Donchian 채널 돌파 entryN=13, exitN=53 |
-7.7% | -74.1% | 0.15 | -0.10 | 0.6x | 26 | 77% |
| SMA 크로스오버 fast=16, slow=40 |
-3.0% | -62.3% | 0.15 | -0.05 | 0.8x | 46 | 44% |
| Parabolic SAR step=0.035, maxStep=0.16 |
-7.6% | -82.5% | 0.06 | -0.09 | 0.6x | 174 | 46% |
| Supertrend period=29, mult=4.1 |
-6.3% | -79.0% | 0.04 | -0.08 | 0.6x | 30 | 35% |
| ROC 모멘텀 n=20, threshold=0.11 |
-6.5% | -71.9% | 0.01 | -0.09 | 0.6x | 98 | 21% |
| EMA 크로스오버 fast=23, slow=51 |
-10.4% | -71.2% | -0.02 | -0.15 | 0.5x | 36 | 46% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=21, mult=1.5 |
-11.1% | -77.2% | -0.11 | -0.14 | 0.4x | 44 | 27% |
| Buy and hold | -15.1% | -89.9% | 0.11 | -0.17 | 0.3x | 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