Trend-Following Backtester · Guide · backtest 한국어
equity · US
Intercorp Financial Services Inc. backtest
10 trend-following strategies were compared on the full daily history of Intercorp Financial Services Inc.. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.0%, MDD -22.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 4.9%, drawdown -61.6%).
Sharpe leader (same as main): Supertrend — CAGR 12.4%, MDD -37.0%, Sharpe 0.61, 55% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 24.6%p (CAGR 7.0%, MDD -22.3%, exposure 36%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=33, mult=3.7 |
12.4% | -37.0% | 0.61 | 0.33 | 2.3x | 25 | 55% |
| ADX / DI 방향성 period=29, threshold=28 |
4.3% | -15.3% | 0.59 | 0.28 | 1.4x | 4 | 5% |
| Donchian 채널 돌파 entryN=61, exitN=78 |
9.1% | -43.5% | 0.47 | 0.21 | 1.9x | 9 | 63% |
| SMA 크로스오버 fast=30, slow=247 |
8.2% | -39.3% | 0.47 | 0.21 | 1.8x | 9 | 47% |
| 볼린저 밴드 돌파 n=47, k=1.8 |
7.0% | -22.3% | 0.45 | 0.31 | 1.6x | 36 | 36% |
| MACD fast=11, slow=23, signal=19 |
7.3% | -45.6% | 0.40 | 0.16 | 1.7x | 100 | 48% |
| EMA 크로스오버 fast=44, slow=196 |
6.2% | -44.4% | 0.39 | 0.14 | 1.5x | 9 | 44% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=22, mult=3.2 |
4.7% | -23.6% | 0.36 | 0.20 | 1.4x | 20 | 31% |
| Parabolic SAR step=0.015, maxStep=0.2 |
3.0% | -52.7% | 0.24 | 0.06 | 1.2x | 126 | 50% |
| ROC 모멘텀 n=122, threshold=-0.01 |
2.9% | -49.8% | 0.24 | 0.06 | 1.2x | 47 | 58% |
| Buy and hold | 4.9% | -61.6% | 0.32 | 0.08 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 33-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)