Trend-Following Backtester · Guide · backtest 한국어
equity · KR
GS backtest
10 trend-following strategies were compared on the full daily history of GS. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.1%, MDD -47.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.9%, drawdown -72.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.9%, MDD -62.0%, Sharpe 0.38, 61% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 10.1%p (CAGR 6.1%, MDD -47.3%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=110, exitN=137 |
6.9% | -62.0% | 0.38 | 0.11 | 4.3x | 19 | 61% |
| SMA 크로스오버 fast=28, slow=213 |
6.1% | -47.3% | 0.36 | 0.13 | 3.7x | 29 | 51% |
| EMA 크로스오버 fast=55, slow=213 |
5.8% | -59.6% | 0.35 | 0.10 | 3.4x | 27 | 52% |
| Supertrend period=7, mult=5 |
2.7% | -52.4% | 0.24 | 0.05 | 1.8x | 59 | 58% |
| ROC 모멘텀 n=42, threshold=-0.01 |
2.3% | -67.2% | 0.22 | 0.03 | 1.7x | 301 | 55% |
| 볼린저 밴드 돌파 n=41, k=0.9 |
-0.3% | -71.8% | 0.10 | -0.00 | 0.9x | 197 | 41% |
| MACD fast=10, slow=40, signal=19 |
-0.9% | -80.0% | 0.08 | -0.01 | 0.8x | 291 | 49% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-1.7% | -81.3% | 0.05 | -0.02 | 0.7x | 279 | 50% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=2.5 |
-1.2% | -61.2% | 0.04 | -0.02 | 0.8x | 87 | 27% |
| ADX / DI 방향성 period=21, threshold=36 |
-0.1% | -18.7% | 0.01 | -0.00 | 1.0x | 10 | 2% |
| Buy and hold | 5.9% | -72.1% | 0.34 | 0.08 | 3.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 110 days
- Sell — Sell when price breaks below the lowest low of the last 137 days