Trend-Following Backtester · Guide · backtest 한국어
equity · US
International Paper Company backtest
10 trend-following strategies were compared on the full daily history of International Paper Company. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. Its 100% market exposure makes it hold-like.
Results by strategy
0 of 10 beat buy and hold (CAGR 2.7%, drawdown -93.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.3%, MDD -90.8%, Sharpe 0.23, 100% exposure. With at least 95% exposure, it should be treated as hold-like, not strong evidence of timing skill.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 Hold-like · Exposure 100% n=4, threshold=-0.15 |
2.3% | -90.8% | 0.23 | 0.02 | 3.6x | 43 | 100% |
| Donchian 채널 돌파 entryN=16, exitN=125 |
0.7% | -86.9% | 0.16 | 0.01 | 1.5x | 121 | 86% |
| SMA 크로스오버 fast=63, slow=201 |
1.2% | -69.6% | 0.16 | 0.02 | 1.9x | 86 | 55% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=9, mult=4 |
0.1% | -8.1% | 0.08 | 0.01 | 1.1x | 4 | 0% |
| EMA 크로스오버 fast=39, slow=194 |
-1.3% | -88.6% | 0.04 | -0.01 | 0.5x | 108 | 56% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.6% | -94.8% | -0.02 | -0.03 | 0.2x | 485 | 52% |
| Supertrend period=27, mult=4.6 |
-2.6% | -91.6% | -0.02 | -0.03 | 0.2x | 253 | 54% |
| ADX / DI 방향성 period=15, threshold=41 |
-0.2% | -25.1% | -0.04 | -0.01 | 0.9x | 42 | 2% |
| MACD fast=16, slow=33, signal=16 |
-4.4% | -94.7% | -0.09 | -0.05 | 0.1x | 765 | 50% |
| 볼린저 밴드 돌파 n=45, k=2.2 |
-3.3% | -89.7% | -0.16 | -0.04 | 0.1x | 239 | 26% |
| Buy and hold | 2.7% | -93.2% | 0.24 | 0.03 | 4.5x | 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 4-day return is greater than -15%
- Sell — Sell when the 4-day return drops to -15% or below