Trend-Following Backtester · Guide · backtest 한국어
equity · IN
GMR Airports Ltd backtest
10 trend-following strategies were compared on the full daily history of GMR Airports Ltd. 2 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.6%, MDD -52.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.0%, drawdown -91.9%).
Sharpe leader (same as main): MACD — CAGR 13.0%, MDD -72.5%, Sharpe 0.54, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 19.4%p (CAGR 9.6%, MDD -52.1%, 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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=29, signal=13 |
13.0% | -72.5% | 0.54 | 0.18 | 11.5x | 264 | 50% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=16, mult=2.9 |
8.2% | -44.1% | 0.52 | 0.19 | 4.8x | 48 | 13% |
| 볼린저 밴드 돌파 n=21, k=1.7 |
9.6% | -52.1% | 0.48 | 0.18 | 6.2x | 192 | 34% |
| EMA 크로스오버 fast=26, slow=75 |
7.3% | -79.9% | 0.38 | 0.09 | 4.1x | 61 | 52% |
| ADX / DI 방향성 period=10, threshold=32 |
6.1% | -60.2% | 0.38 | 0.10 | 3.3x | 164 | 20% |
| Donchian 채널 돌파 entryN=7, exitN=66 |
6.4% | -90.0% | 0.36 | 0.07 | 3.4x | 59 | 88% |
| Supertrend period=26, mult=1.6 |
6.3% | -75.4% | 0.35 | 0.08 | 3.4x | 276 | 51% |
| Parabolic SAR step=0.04, maxStep=0.08 |
6.3% | -78.5% | 0.35 | 0.08 | 3.4x | 406 | 51% |
| SMA 크로스오버 fast=50, slow=108 |
5.8% | -84.1% | 0.34 | 0.07 | 3.1x | 47 | 51% |
| ROC 모멘텀 n=74, threshold=-0.02 |
4.8% | -72.7% | 0.31 | 0.07 | 2.5x | 211 | 56% |
| Buy and hold | 9.0% | -91.9% | 0.42 | 0.10 | 5.6x | 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 (14/29) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line