Trend-Following Backtester · Guide · backtest 한국어
equity · US
Ingersoll Rand Inc. backtest
10 trend-following strategies were compared on the full daily history of Ingersoll Rand Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.0%, drawdown -50.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.1%, MDD -7.3%, Sharpe 0.70, 5% exposure.
CAGR reference leader: Supertrend — CAGR 11.7%, MDD -37.1%, exposure 59%.
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=19, threshold=38 |
3.1% | -7.3% | 0.70 | 0.43 | 1.3x | 4 | 5% |
| Supertrend period=35, mult=4.9 |
11.7% | -37.1% | 0.59 | 0.32 | 2.8x | 29 | 59% |
| SMA 크로스오버 fast=34, slow=57 |
10.5% | -30.5% | 0.55 | 0.34 | 2.5x | 37 | 58% |
| Donchian 채널 돌파 entryN=27, exitN=54 |
11.2% | -38.7% | 0.54 | 0.29 | 2.7x | 25 | 70% |
| EMA 크로스오버 fast=30, slow=41 |
9.8% | -35.9% | 0.52 | 0.27 | 2.4x | 31 | 61% |
| ROC 모멘텀 n=14, threshold=-0.11 |
10.6% | -49.6% | 0.48 | 0.21 | 2.5x | 71 | 94% |
| 볼린저 밴드 돌파 n=57, k=0.6 |
8.0% | -47.4% | 0.47 | 0.17 | 2.0x | 63 | 53% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=2.6 |
4.5% | -25.2% | 0.35 | 0.18 | 1.5x | 42 | 37% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.2% | -34.2% | 0.25 | 0.10 | 1.3x | 171 | 56% |
| MACD fast=23, slow=58, signal=21 |
2.0% | -41.8% | 0.20 | 0.05 | 1.2x | 85 | 50% |
| Buy and hold | 16.0% | -50.3% | 0.61 | 0.32 | 3.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 19-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)