Trend-Following Backtester · Guide · backtest 한국어
equity · US
Innodata Inc. backtest
10 trend-following strategies were compared on the full daily history of Innodata Inc.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 20.9%, MDD -72.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.1%, drawdown -95.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 20.9%, MDD -72.2%, Sharpe 0.54, 55% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 23.2%p (CAGR 20.9%, MDD -72.2%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=68, exitN=100 |
20.9% | -72.2% | 0.54 | 0.29 | 534.6x | 35 | 55% |
| SMA 크로스오버 fast=45, slow=207 |
16.9% | -72.6% | 0.54 | 0.23 | 174.4x | 39 | 45% |
| EMA 크로스오버 fast=43, slow=133 |
16.4% | -73.2% | 0.54 | 0.22 | 150.8x | 44 | 45% |
| Supertrend period=15, mult=5 |
14.3% | -90.1% | 0.46 | 0.16 | 82.6x | 76 | 50% |
| Keltner 채널 돌파 emaPeriod=92, atrPeriod=15, mult=3.5 |
10.1% | -68.0% | 0.43 | 0.15 | 24.4x | 64 | 25% |
| ROC 모멘텀 n=97, threshold=0.12 |
5.9% | -91.2% | 0.37 | 0.06 | 6.6x | 315 | 37% |
| ADX / DI 방향성 period=26, threshold=12 |
6.1% | -94.4% | 0.37 | 0.06 | 7.0x | 354 | 43% |
| Parabolic SAR step=0.005, maxStep=0.34 |
4.6% | -91.9% | 0.35 | 0.05 | 4.4x | 236 | 47% |
| 볼린저 밴드 돌파 n=57, k=2.1 |
3.3% | -87.0% | 0.31 | 0.04 | 2.9x | 128 | 30% |
| MACD fast=17, slow=26, signal=22 |
-9.7% | -100.0% | 0.18 | -0.10 | 0.0x | 457 | 52% |
| Buy and hold | 11.1% | -95.5% | 0.51 | 0.12 | 32.1x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 68 days
- Sell — Sell when price breaks below the lowest low of the last 100 days