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 14.9%, drawdown -50.3%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.1%, MDD -7.3%, Sharpe 0.69, 5% exposure.
CAGR reference leader: Supertrend — CAGR 10.7%, 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% | 0.69 | 0.42 | 1.3x | 4 | 5% |
| Supertrend period=35, mult=4.9 |
10.7% | -37.1% | 0.55 | 0.29 | 2.6x | 29 | 59% |
| SMA 크로스오버 fast=34, slow=57 |
9.4% | -30.5% | 0.51 | 0.31 | 2.3x | 37 | 58% |
| Donchian 채널 돌파 entryN=27, exitN=54 |
10.1% | -38.7% | 0.51 | 0.26 | 2.5x | 25 | 70% |
| EMA 크로스오버 fast=30, slow=41 |
8.7% | -35.9% | 0.48 | 0.24 | 2.2x | 31 | 62% |
| 볼린저 밴드 돌파 n=57, k=0.6 |
7.3% | -47.4% | 0.44 | 0.15 | 1.9x | 64 | 53% |
| ROC 모멘텀 n=14, threshold=-0.11 |
9.2% | -49.6% | 0.44 | 0.19 | 2.3x | 73 | 94% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=16, mult=2.6 |
3.4% | -28.0% | 0.29 | 0.12 | 1.4x | 44 | 37% |
| Parabolic SAR step=0.015, maxStep=0.14 |
3.3% | -34.2% | 0.26 | 0.10 | 1.4x | 172 | 56% |
| MACD fast=23, slow=58, signal=21 |
1.6% | -41.8% | 0.18 | 0.04 | 1.2x | 86 | 50% |
| Buy and hold | 14.9% | -50.3% | 0.58 | 0.30 | 3.6x | 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)