Trend-Following Backtester · Guide · backtest 한국어
equity · KR
GS건설 backtest
10 trend-following strategies were compared on the full daily history of GS건설. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 7.1%, MDD -49.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 6.1%, drawdown -93.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 14.0%, MDD -55.1%, Sharpe 0.55, 52% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 38.0%p (CAGR 7.1%, MDD -49.2%, exposure 31%).
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=30, slow=176 |
14.0% | -55.1% | 0.55 | 0.25 | 32.9x | 45 | 52% |
| EMA 크로스오버 fast=50, slow=132 |
10.3% | -61.0% | 0.46 | 0.17 | 13.5x | 47 | 53% |
| Donchian 채널 돌파 entryN=116, exitN=56 |
8.4% | -72.3% | 0.43 | 0.12 | 8.6x | 34 | 36% |
| ADX / DI 방향성 period=39, threshold=13 |
7.1% | -49.2% | 0.38 | 0.14 | 6.2x | 111 | 31% |
| ROC 모멘텀 n=118, threshold=0.08 |
7.0% | -76.1% | 0.37 | 0.09 | 6.1x | 225 | 43% |
| Supertrend period=14, mult=5 |
4.6% | -76.8% | 0.30 | 0.06 | 3.3x | 75 | 58% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=2.1 |
1.8% | -67.4% | 0.20 | 0.03 | 1.6x | 135 | 34% |
| Parabolic SAR step=0.005, maxStep=0.16 |
0.4% | -69.6% | 0.18 | 0.01 | 1.1x | 221 | 51% |
| 볼린저 밴드 돌파 n=56, k=2 |
0.5% | -67.8% | 0.15 | 0.01 | 1.1x | 105 | 30% |
| MACD fast=11, slow=30, signal=17 |
-2.0% | -71.6% | 0.11 | -0.03 | 0.6x | 417 | 52% |
| Buy and hold | 6.1% | -93.1% | 0.37 | 0.07 | 4.9x | 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 30-day average price crosses above the 176-day average
- Sell — Sell (to cash) when the 30-day average falls below the 176-day average