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 7.8%, MDD -47.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 7.6%, drawdown -72.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.6%, MDD -62.0%, Sharpe 0.44, 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 7.8%, MDD -47.3%, exposure 52%).
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 |
8.6% | -62.0% | 0.44 | 0.14 | 6.2x | 19 | 61% |
| SMA 크로스오버 fast=28, slow=213 |
7.8% | -47.3% | 0.42 | 0.17 | 5.3x | 29 | 52% |
| EMA 크로스오버 fast=55, slow=213 |
7.5% | -59.6% | 0.40 | 0.13 | 4.9x | 27 | 52% |
| Supertrend period=7, mult=5 |
4.4% | -52.4% | 0.30 | 0.08 | 2.6x | 59 | 59% |
| ROC 모멘텀 n=42, threshold=-0.01 |
4.0% | -67.2% | 0.28 | 0.06 | 2.4x | 301 | 55% |
| 볼린저 밴드 돌파 n=41, k=0.9 |
1.3% | -71.8% | 0.18 | 0.02 | 1.3x | 197 | 41% |
| MACD fast=10, slow=40, signal=19 |
0.7% | -80.0% | 0.15 | 0.01 | 1.2x | 291 | 49% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=17, mult=2.5 |
0.4% | -61.2% | 0.12 | 0.01 | 1.1x | 87 | 27% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-0.4% | -81.3% | 0.11 | -0.01 | 0.9x | 281 | 50% |
| ADX / DI 방향성 period=21, threshold=36 |
-0.1% | -18.7% | 0.01 | -0.00 | 1.0x | 10 | 2% |
| Buy and hold | 7.6% | -72.1% | 0.39 | 0.11 | 5.1x | 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