Trend-Following Backtester · Guide · backtest 한국어
equity · FR
ID Logistics Group backtest
10 trend-following strategies were compared on the full daily history of ID Logistics Group. 0 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.0%, drawdown -38.5%).
Sharpe leader (same as main): MACD — CAGR 14.3%, MDD -36.7%, Sharpe 0.78, 51% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 14.7%, MDD -48.6%, exposure 66%.
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=7, slow=29, signal=13 |
14.3% | -36.7% | 0.78 | 0.39 | 6.7x | 249 | 51% |
| 볼린저 밴드 돌파 n=59, k=3.1 |
10.7% | -23.1% | 0.77 | 0.46 | 4.3x | 28 | 31% |
| Supertrend period=15, mult=1.9 |
14.2% | -30.1% | 0.74 | 0.47 | 6.7x | 213 | 59% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=9, mult=2.9 |
11.1% | -32.1% | 0.72 | 0.35 | 4.5x | 58 | 42% |
| SMA 크로스오버 fast=55, slow=85 |
14.7% | -48.6% | 0.72 | 0.30 | 7.1x | 45 | 66% |
| Donchian 채널 돌파 entryN=85, exitN=38 |
12.2% | -39.9% | 0.72 | 0.31 | 5.2x | 32 | 46% |
| Parabolic SAR step=0.01, maxStep=0.38 |
12.2% | -42.7% | 0.66 | 0.28 | 5.2x | 169 | 57% |
| ROC 모멘텀 n=88, threshold=0.07 |
10.3% | -43.0% | 0.62 | 0.24 | 4.1x | 159 | 47% |
| EMA 크로스오버 fast=19, slow=179 |
9.8% | -57.0% | 0.53 | 0.17 | 3.8x | 36 | 70% |
| ADX / DI 방향성 period=13, threshold=11 |
4.6% | -57.3% | 0.32 | 0.08 | 1.9x | 277 | 58% |
| Buy and hold | 22.0% | -38.5% | 0.84 | 0.57 | 17.0x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (7/29) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line