Trend-Following Backtester · Guide · backtest 한국어
equity · US
Insight Enterprises, Inc. backtest
10 trend-following strategies were compared on the full daily history of Insight Enterprises, Inc.. 1 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 15.9%, MDD -71.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.0%, drawdown -95.2%).
Sharpe leader (same as main): MACD — CAGR 15.9%, MDD -71.6%, Sharpe 0.58, 51% exposure.
Return/drawdown alternative: MACD — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 23.6%p (CAGR 15.9%, MDD -71.6%, exposure 51%).
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=18, slow=51, signal=15 |
15.9% | -71.6% | 0.58 | 0.22 | 103.9x | 336 | 51% |
| Donchian 채널 돌파 entryN=9, exitN=8 |
12.9% | -60.8% | 0.52 | 0.21 | 46.4x | 347 | 55% |
| EMA 크로스오버 fast=10, slow=51 |
10.7% | -67.3% | 0.47 | 0.16 | 24.5x | 189 | 56% |
| SMA 크로스오버 fast=20, slow=26 |
9.5% | -84.8% | 0.43 | 0.11 | 17.5x | 360 | 56% |
| ADX / DI 방향성 period=16, threshold=25 |
7.5% | -66.2% | 0.43 | 0.11 | 9.8x | 194 | 22% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=9, mult=2 |
8.4% | -66.4% | 0.42 | 0.13 | 12.7x | 149 | 43% |
| 볼린저 밴드 돌파 n=24, k=1.7 |
8.0% | -71.9% | 0.40 | 0.11 | 11.4x | 301 | 39% |
| Supertrend period=13, mult=2.3 |
8.2% | -79.8% | 0.40 | 0.10 | 11.9x | 289 | 55% |
| Parabolic SAR step=0.015, maxStep=0.26 |
4.0% | -88.3% | 0.29 | 0.05 | 3.4x | 571 | 55% |
| ROC 모멘텀 n=23, threshold=0.02 |
4.1% | -79.6% | 0.28 | 0.05 | 3.5x | 651 | 49% |
| Buy and hold | 14.0% | -95.2% | 0.52 | 0.15 | 62.6x | 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 (18/51) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line