Trend-Following Backtester · Guide · backtest 한국어
equity · CA
CGI Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of CGI Inc. Class A. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 17.8%, MDD -55.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.6%, drawdown -84.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 11.4%, MDD -19.6%, Sharpe 0.89, 6% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 17.8%, MDD -55.9%, exposure 65%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 9.2%p lower than buy and hold, while drawdown improves by 65.0%p (CAGR 17.8%, MDD -55.9%, exposure 65%).
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=47, threshold=31 |
11.4% | -19.6% | 0.89 | 0.58 | 25.8x | 4 | 6% |
| 볼린저 밴드 돌파 n=57, k=2.6 |
14.1% | -35.3% | 0.79 | 0.40 | 52.2x | 81 | 33% |
| Donchian 채널 돌파 entryN=69, exitN=52 |
16.7% | -56.4% | 0.79 | 0.30 | 104.0x | 56 | 56% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=11, mult=3.9 |
9.9% | -33.0% | 0.78 | 0.30 | 17.0x | 32 | 7% |
| Supertrend period=16, mult=5 |
16.5% | -58.7% | 0.75 | 0.28 | 97.6x | 81 | 59% |
| EMA 크로스오버 fast=49, slow=64 |
17.8% | -55.9% | 0.75 | 0.32 | 136.2x | 65 | 65% |
| SMA 크로스오버 fast=31, slow=92 |
15.5% | -59.3% | 0.69 | 0.26 | 75.8x | 83 | 62% |
| Parabolic SAR step=0.02, maxStep=0.02 |
13.1% | -72.4% | 0.61 | 0.18 | 40.4x | 181 | 61% |
| ROC 모멘텀 n=88, threshold=-0.03 |
13.4% | -63.1% | 0.60 | 0.21 | 43.4x | 295 | 70% |
| MACD fast=13, slow=46, signal=23 |
7.8% | -62.6% | 0.42 | 0.13 | 9.6x | 347 | 50% |
| Buy and hold | 20.6% | -84.6% | 0.70 | 0.24 | 276.9x | 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, 47-day) is ≥ 31
- Sell — Sell when direction flips or the trend weakens (ADX < 31)