Trend-Following Backtester · Guide · backtest 한국어
equity · US
Interparfums, Inc. backtest
10 trend-following strategies were compared on the full daily history of Interparfums, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 13.2%, MDD -65.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.1%, drawdown -82.6%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 13.2%, MDD -65.4%, Sharpe 0.53, 59% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 17.3%p (CAGR 13.2%, MDD -65.4%, exposure 59%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=56, slow=90 |
13.2% | -65.4% | 0.53 | 0.20 | 118.1x | 67 | 59% |
| SMA 크로스오버 fast=29, slow=160 |
12.2% | -62.9% | 0.50 | 0.19 | 82.6x | 87 | 60% |
| Donchian 채널 돌파 entryN=30, exitN=57 |
11.5% | -72.7% | 0.48 | 0.16 | 65.1x | 97 | 69% |
| Supertrend period=12, mult=3.8 |
8.7% | -72.1% | 0.42 | 0.12 | 24.8x | 161 | 52% |
| ADX / DI 방향성 period=37, threshold=20 |
7.1% | -62.6% | 0.39 | 0.11 | 13.8x | 100 | 26% |
| Keltner 채널 돌파 emaPeriod=64, atrPeriod=23, mult=3.9 |
5.5% | -69.9% | 0.35 | 0.08 | 7.7x | 75 | 23% |
| ROC 모멘텀 n=149, threshold=0 |
5.6% | -88.7% | 0.33 | 0.06 | 8.1x | 293 | 60% |
| 볼린저 밴드 돌파 n=37, k=2 |
5.0% | -67.8% | 0.31 | 0.07 | 6.5x | 219 | 35% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.1% | -79.8% | 0.23 | 0.03 | 2.2x | 297 | 52% |
| MACD fast=18, slow=37, signal=17 |
-3.6% | -96.3% | 0.07 | -0.04 | 0.2x | 493 | 51% |
| Buy and hold | 15.1% | -82.6% | 0.52 | 0.18 | 223.1x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 56-day EMA crosses above the 90-day EMA
- Sell — Sell when the 56-day EMA falls below the 90-day EMA