Trend-Following Backtester · Guide · backtest 한국어
equity · US
Integer Holdings Corporation backtest
10 trend-following strategies were compared on the full daily history of Integer Holdings Corporation. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 7.1%, MDD -52.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.0%, drawdown -68.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.1%, MDD -52.4%, Sharpe 0.40, 59% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 15.6%p (CAGR 7.1%, MDD -52.4%, exposure 59%).
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=13, slow=178 |
7.1% | -52.4% | 0.40 | 0.14 | 5.9x | 51 | 59% |
| Donchian 채널 돌파 entryN=71, exitN=73 |
6.3% | -59.1% | 0.37 | 0.11 | 4.9x | 35 | 60% |
| EMA 크로스오버 fast=36, slow=91 |
4.2% | -58.4% | 0.29 | 0.07 | 2.9x | 63 | 60% |
| Supertrend period=11, mult=4.3 |
3.6% | -61.8% | 0.26 | 0.06 | 2.5x | 107 | 57% |
| ROC 모멘텀 n=142, threshold=0 |
3.3% | -67.2% | 0.26 | 0.05 | 2.3x | 183 | 60% |
| Keltner 채널 돌파 emaPeriod=123, atrPeriod=11, mult=3.3 |
1.8% | -52.8% | 0.19 | 0.03 | 1.6x | 69 | 40% |
| 볼린저 밴드 돌파 n=53, k=1.8 |
0.4% | -51.1% | 0.12 | 0.01 | 1.1x | 129 | 39% |
| ADX / DI 방향성 period=12, threshold=26 |
-1.1% | -66.0% | 0.00 | -0.02 | 0.7x | 241 | 24% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-6.1% | -89.2% | -0.10 | -0.07 | 0.2x | 227 | 53% |
| MACD fast=6, slow=28, signal=18 |
-6.4% | -92.5% | -0.13 | -0.07 | 0.2x | 523 | 51% |
| Buy and hold | 7.0% | -68.0% | 0.37 | 0.10 | 5.8x | 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 13-day average price crosses above the 178-day average
- Sell — Sell (to cash) when the 13-day average falls below the 178-day average