Trend-Following Backtester · Guide · backtest 한국어
equity · US
IPG Photonics Corporation backtest
10 trend-following strategies were compared on the full daily history of IPG Photonics Corporation. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 6.1%, MDD -24.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.3%, drawdown -81.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.5%, MDD -33.7%, Sharpe 0.52, 24% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 47.4%p (CAGR 6.1%, MDD -24.6%, exposure 8%).
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=115, exitN=16 |
9.5% | -33.7% | 0.52 | 0.28 | 6.0x | 42 | 24% |
| ADX / DI 방향성 period=48, threshold=22 |
6.1% | -24.6% | 0.49 | 0.25 | 3.2x | 12 | 8% |
| SMA 크로스오버 fast=38, slow=169 |
8.5% | -54.0% | 0.41 | 0.16 | 5.0x | 34 | 52% |
| 볼린저 밴드 돌파 n=49, k=2 |
7.0% | -46.0% | 0.39 | 0.15 | 3.7x | 74 | 33% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=23, mult=3.6 |
5.5% | -45.9% | 0.36 | 0.12 | 2.9x | 50 | 18% |
| ROC 모멘텀 n=111, threshold=0.03 |
6.5% | -68.8% | 0.35 | 0.09 | 3.4x | 170 | 48% |
| Supertrend period=21, mult=4.6 |
5.0% | -51.7% | 0.31 | 0.10 | 2.6x | 70 | 47% |
| EMA 크로스오버 fast=53, slow=111 |
4.9% | -66.3% | 0.31 | 0.07 | 2.6x | 34 | 51% |
| MACD fast=31, slow=43, signal=31 |
-2.6% | -80.2% | 0.07 | -0.03 | 0.6x | 152 | 50% |
| Parabolic SAR step=0.005, maxStep=0.12 |
-4.9% | -92.1% | 0.01 | -0.05 | 0.4x | 168 | 51% |
| Buy and hold | 6.3% | -81.1% | 0.36 | 0.08 | 3.3x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 16 days