Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Green Thumb Industries Inc. backtest
10 trend-following strategies were compared on the full daily history of Green Thumb Industries Inc.. 7 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
7 of 10 beat buy and hold (CAGR -19.3%, drawdown -99.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -2.8%, MDD -94.0%, Sharpe 0.29, 37% exposure.
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=43, slow=220 |
-2.8% | -94.0% | 0.29 | -0.03 | 0.5x | 27 | 37% |
| EMA 크로스오버 fast=71, slow=171 |
-6.6% | -95.3% | 0.22 | -0.07 | 0.2x | 27 | 35% |
| Parabolic SAR step=0.025, maxStep=0.38 |
-18.6% | -99.8% | 0.18 | -0.19 | 0.0x | 432 | 40% |
| 볼린저 밴드 돌파 n=34, k=3.4 |
-2.9% | -91.8% | 0.16 | -0.03 | 0.5x | 48 | 10% |
| Donchian 채널 돌파 entryN=107, exitN=45 |
-12.1% | -97.8% | 0.09 | -0.12 | 0.1x | 36 | 27% |
| ROC 모멘텀 n=143, threshold=0.05 |
-16.9% | -99.2% | 0.08 | -0.17 | 0.0x | 178 | 36% |
| MACD fast=25, slow=55, signal=23 |
-31.2% | -100.0% | 0.06 | -0.31 | 0.0x | 202 | 51% |
| Keltner 채널 돌파 emaPeriod=86, atrPeriod=16, mult=3.6 |
-13.0% | -98.3% | 0.00 | -0.13 | 0.0x | 60 | 19% |
| ADX / DI 방향성 period=22, threshold=15 |
-28.8% | -100.0% | -0.02 | -0.29 | 0.0x | 252 | 38% |
| Supertrend period=17, mult=3.2 |
-39.1% | -100.0% | -0.19 | -0.39 | 0.0x | 198 | 42% |
| Buy and hold | -19.3% | -99.9% | 0.46 | -0.19 | 0.0x | 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 43-day average price crosses above the 220-day average
- Sell — Sell (to cash) when the 43-day average falls below the 220-day average