Trend-Following Backtester · Guide · backtest 한국어
equity · US
BGC Group, Inc. backtest
10 trend-following strategies were compared on the full daily history of BGC Group, Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.9%, MDD -42.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.3%, drawdown -98.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -57.7%, Sharpe 0.44, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 40.6%p (CAGR 2.9%, MDD -42.3%, exposure 19%).
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=23, slow=89 |
9.4% | -57.7% | 0.44 | 0.16 | 10.9x | 77 | 50% |
| Supertrend period=22, mult=4.4 |
7.6% | -65.3% | 0.38 | 0.12 | 7.1x | 88 | 47% |
| EMA 크로스오버 fast=21, slow=53 |
7.1% | -72.5% | 0.37 | 0.10 | 6.2x | 95 | 51% |
| Donchian 채널 돌파 entryN=68, exitN=42 |
4.1% | -51.9% | 0.28 | 0.08 | 2.9x | 53 | 45% |
| ADX / DI 방향성 period=49, threshold=14 |
2.9% | -42.3% | 0.24 | 0.07 | 2.2x | 72 | 19% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=21, mult=2.6 |
1.5% | -46.9% | 0.18 | 0.03 | 1.5x | 79 | 35% |
| ROC 모멘텀 n=60, threshold=0.06 |
0.7% | -71.4% | 0.18 | 0.01 | 1.2x | 294 | 38% |
| 볼린저 밴드 돌파 n=41, k=2.8 |
-0.4% | -51.6% | 0.07 | -0.01 | 0.9x | 72 | 18% |
| MACD fast=17, slow=57, signal=22 |
-7.5% | -90.0% | -0.03 | -0.08 | 0.1x | 261 | 52% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-12.6% | -97.5% | -0.21 | -0.13 | 0.0x | 491 | 51% |
| Buy and hold | -3.3% | -98.3% | 0.22 | -0.03 | 0.4x | 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 23-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 23-day average falls below the 89-day average