Trend-Following Backtester · Guide · backtest 한국어
equity · GR
Gek Terna S.A. backtest
10 trend-following strategies were compared on the full daily history of Gek Terna S.A.. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 14.1%, MDD -42.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.3%, drawdown -98.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.9%, MDD -45.1%, Sharpe 0.77, 49% exposure.
CAGR reference leader: Supertrend — CAGR 19.6%, MDD -66.0%, exposure 57%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 14.1%, MDD -42.1%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=146, threshold=0.07 |
17.9% | -45.1% | 0.77 | 0.40 | 80.0x | 141 | 49% |
| SMA 크로스오버 fast=24, slow=202 |
18.9% | -56.7% | 0.76 | 0.33 | 101.4x | 33 | 57% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
17.9% | -49.1% | 0.75 | 0.36 | 80.1x | 245 | 44% |
| Supertrend period=12, mult=2.5 |
19.6% | -66.0% | 0.74 | 0.30 | 118.7x | 203 | 57% |
| EMA 크로스오버 fast=31, slow=134 |
17.9% | -55.2% | 0.74 | 0.32 | 80.8x | 35 | 57% |
| Donchian 채널 돌파 entryN=92, exitN=68 |
15.9% | -48.4% | 0.73 | 0.33 | 51.6x | 33 | 49% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=17, mult=1.5 |
15.1% | -44.7% | 0.69 | 0.34 | 42.9x | 157 | 44% |
| ADX / DI 방향성 period=28, threshold=16 |
14.1% | -42.1% | 0.68 | 0.34 | 33.7x | 154 | 34% |
| Parabolic SAR step=0.005, maxStep=0.36 |
15.1% | -71.1% | 0.62 | 0.21 | 42.7x | 211 | 52% |
| MACD fast=10, slow=38, signal=12 |
14.8% | -77.9% | 0.60 | 0.19 | 39.6x | 395 | 51% |
| Buy and hold | 2.3% | -98.1% | 0.29 | 0.02 | 1.8x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 146-day return is greater than 7%
- Sell — Sell when the 146-day return drops to 7% or below