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 -3.2%, drawdown -98.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.8%, MDD -57.7%, Sharpe 0.42, 50% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 12.0%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 |
8.8% | -57.7% | 0.42 | 0.15 | 9.6x | 79 | 50% |
| Supertrend period=22, mult=4.4 |
7.6% | -65.3% | 0.38 | 0.12 | 7.1x | 89 | 47% |
| EMA 크로스오버 fast=21, slow=53 |
6.6% | -72.5% | 0.36 | 0.09 | 5.5x | 97 | 51% |
| Donchian 채널 돌파 entryN=68, exitN=42 |
3.5% | -51.9% | 0.26 | 0.07 | 2.5x | 54 | 44% |
| ADX / DI 방향성 period=49, threshold=14 |
2.9% | -42.3% | 0.24 | 0.07 | 2.2x | 72 | 19% |
| ROC 모멘텀 n=60, threshold=0.06 |
0.8% | -71.4% | 0.18 | 0.01 | 1.2x | 295 | 38% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=21, mult=2.6 |
1.3% | -50.3% | 0.17 | 0.03 | 1.4x | 81 | 35% |
| 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 |
-7.6% | -90.6% | -0.03 | -0.08 | 0.1x | 263 | 52% |
| Parabolic SAR step=0.015, maxStep=0.38 |
-12.8% | -97.5% | -0.22 | -0.13 | 0.0x | 493 | 51% |
| Buy and hold | -3.2% | -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