Trend-Following Backtester · Guide · backtest 한국어
equity · US
Intercontinental Exchange Inc. backtest
10 trend-following strategies were compared on the full daily history of Intercontinental Exchange Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.7%, MDD -50.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 15.4%, drawdown -73.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.7%, MDD -50.1%, Sharpe 0.55, 88% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.6%p lower than buy and hold, while drawdown improves by 23.8%p (CAGR 11.7%, MDD -50.1%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=142, threshold=-0.11 |
11.7% | -50.1% | 0.55 | 0.23 | 10.0x | 63 | 88% |
| SMA 크로스오버 fast=48, slow=179 |
9.2% | -49.6% | 0.48 | 0.18 | 6.2x | 26 | 74% |
| EMA 크로스오버 fast=51, slow=140 |
9.1% | -49.0% | 0.47 | 0.18 | 6.0x | 30 | 77% |
| Donchian 채널 돌파 entryN=29, exitN=74 |
9.5% | -70.2% | 0.46 | 0.13 | 6.5x | 37 | 83% |
| Supertrend period=9, mult=3.9 |
7.2% | -47.6% | 0.42 | 0.15 | 4.3x | 91 | 57% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=22, mult=3.6 |
3.6% | -24.6% | 0.39 | 0.15 | 2.1x | 38 | 12% |
| 볼린저 밴드 돌파 n=29, k=2.3 |
4.4% | -55.1% | 0.33 | 0.08 | 2.4x | 128 | 31% |
| ADX / DI 방향성 period=16, threshold=28 |
2.1% | -38.9% | 0.22 | 0.05 | 1.5x | 83 | 16% |
| MACD fast=22, slow=30, signal=21 |
1.9% | -72.5% | 0.20 | 0.03 | 1.5x | 223 | 50% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.1% | -79.1% | 0.12 | 0.00 | 1.0x | 193 | 57% |
| Buy and hold | 15.4% | -73.9% | 0.57 | 0.21 | 19.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 142-day return is greater than -11%
- Sell — Sell when the 142-day return drops to -11% or below