Trend-Following Backtester · Guide · backtest 한국어
equity · US
Iron Mountain Incorporated (Delaware) backtest
10 trend-following strategies were compared on the full daily history of Iron Mountain Incorporated (Delaware). 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 13.0%, drawdown -55.7%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 2.3%, MDD -11.6%, Sharpe 0.46, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.7%, MDD -52.2%, exposure 58%.
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=30, threshold=38 |
2.3% | -11.6% | 0.46 | 0.20 | 2.0x | 6 | 2% |
| SMA 크로스오버 fast=58, slow=69 |
5.7% | -52.2% | 0.36 | 0.11 | 5.4x | 163 | 58% |
| Donchian 채널 돌파 entryN=50, exitN=71 |
5.3% | -54.1% | 0.34 | 0.10 | 4.9x | 63 | 69% |
| MACD fast=38, slow=51, signal=23 |
4.9% | -58.5% | 0.33 | 0.08 | 4.3x | 228 | 49% |
| 볼린저 밴드 돌파 n=34, k=2.5 |
3.1% | -40.6% | 0.28 | 0.08 | 2.5x | 120 | 26% |
| Supertrend period=27, mult=4.4 |
3.7% | -63.7% | 0.28 | 0.06 | 3.1x | 130 | 56% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=21, mult=1.8 |
3.1% | -48.9% | 0.26 | 0.06 | 2.5x | 212 | 40% |
| EMA 크로스오버 fast=49, slow=56 |
2.0% | -66.1% | 0.20 | 0.03 | 1.8x | 107 | 60% |
| ROC 모멘텀 n=76, threshold=-0.02 |
1.0% | -73.3% | 0.16 | 0.01 | 1.3x | 367 | 65% |
| Parabolic SAR step=0.01, maxStep=0.08 |
-0.8% | -86.0% | 0.07 | -0.01 | 0.8x | 383 | 53% |
| Buy and hold | 13.0% | -55.7% | 0.54 | 0.23 | 41.3x | 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, 30-day) is ≥ 38
- Sell — Sell when direction flips or the trend weakens (ADX < 38)