Trend-Following Backtester · Guide · backtest 한국어
equity · US
GCM Grosvenor Inc. backtest
10 trend-following strategies were compared on the full daily history of GCM Grosvenor Inc.. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.2%, MDD -18.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 3.3%, drawdown -54.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.2%, MDD -18.5%, Sharpe 0.33, 20% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 3.2%, MDD -22.0%, exposure 26%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 35.6%p (CAGR 3.2%, MDD -18.5%, exposure 20%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=16 |
3.2% | -18.5% | 0.33 | 0.17 | 1.3x | 26 | 20% |
| ROC 모멘텀 n=144, threshold=0.12 |
3.2% | -22.0% | 0.29 | 0.15 | 1.3x | 26 | 26% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.1% | -30.6% | 0.26 | 0.10 | 1.3x | 94 | 56% |
| SMA 크로스오버 fast=55, slow=124 |
2.7% | -32.4% | 0.24 | 0.08 | 1.2x | 15 | 57% |
| MACD fast=10, slow=25, signal=13 |
1.7% | -28.5% | 0.18 | 0.06 | 1.1x | 124 | 50% |
| Donchian 채널 돌파 entryN=96, exitN=21 |
1.6% | -34.4% | 0.18 | 0.05 | 1.1x | 15 | 35% |
| Supertrend period=23, mult=1.9 |
0.7% | -33.0% | 0.12 | 0.02 | 1.1x | 86 | 53% |
| EMA 크로스오버 fast=43, slow=80 |
0.3% | -42.7% | 0.10 | 0.01 | 1.0x | 15 | 56% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
-0.4% | -26.9% | 0.04 | -0.01 | 1.0x | 23 | 36% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=31, mult=1.9 |
-1.4% | -32.7% | -0.03 | -0.04 | 0.9x | 36 | 41% |
| Buy and hold | 3.3% | -54.2% | 0.25 | 0.06 | 1.3x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 16
- Sell — Sell when direction flips or the trend weakens (ADX < 16)