Trend-Following Backtester · Guide · backtest 한국어
equity · US
Innovex International, Inc. backtest
10 trend-following strategies were compared on the full daily history of Innovex International, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 1.4%, drawdown -89.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.5%, MDD -86.5%, Sharpe 0.20, 52% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=30, slow=183 |
1.5% | -86.5% | 0.20 | 0.02 | 1.5x | 51 | 52% |
| Supertrend period=21, mult=3.4 |
1.4% | -78.6% | 0.20 | 0.02 | 1.5x | 184 | 50% |
| Donchian 채널 돌파 entryN=17, exitN=43 |
0.3% | -81.3% | 0.19 | 0.00 | 1.1x | 121 | 70% |
| EMA 크로스오버 fast=10, slow=102 |
0.6% | -85.5% | 0.17 | 0.01 | 1.2x | 123 | 53% |
| MACD fast=21, slow=45, signal=28 |
-0.6% | -89.9% | 0.15 | -0.01 | 0.9x | 255 | 52% |
| 볼린저 밴드 돌파 n=22, k=2.7 |
1.0% | -56.1% | 0.14 | 0.02 | 1.3x | 90 | 13% |
| ROC 모멘텀 n=167, threshold=0.06 |
0.0% | -88.1% | 0.14 | 0.00 | 1.0x | 217 | 44% |
| ADX / DI 방향성 period=20, threshold=30 |
-0.3% | -40.5% | 0.03 | -0.01 | 0.9x | 50 | 6% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=12, mult=3.9 |
-0.0% | -18.9% | 0.02 | -0.00 | 1.0x | 4 | 0% |
| Parabolic SAR step=0.01, maxStep=0.2 |
-6.5% | -91.8% | -0.05 | -0.07 | 0.1x | 407 | 50% |
| Buy and hold | 1.4% | -89.5% | 0.27 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 30-day average price crosses above the 183-day average
- Sell — Sell (to cash) when the 30-day average falls below the 183-day average