Trend-Following Backtester · Guide · backtest 한국어
equity · US
GoodRx Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of GoodRx Holdings, Inc.. 10 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -0.5%, MDD -5.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -38.1%, drawdown -96.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR -1.4%, MDD -52.9%, Sharpe 0.15, 30% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 1.1%, MDD -14.8%, exposure 1%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 36.7%p higher than buy and hold, while drawdown improves by 43.8%p (CAGR -0.5%, MDD -5.1%, exposure 0%).
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=30, slow=124 |
-1.4% | -52.9% | 0.15 | -0.03 | 0.9x | 11 | 30% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=9, mult=4 |
1.1% | -14.8% | 0.14 | 0.08 | 1.1x | 2 | 1% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
0.8% | -38.3% | 0.14 | 0.02 | 1.0x | 12 | 7% |
| EMA 크로스오버 fast=27, slow=54 |
-6.9% | -55.8% | -0.00 | -0.12 | 0.7x | 15 | 33% |
| Supertrend period=26, mult=4.7 |
-14.1% | -72.4% | -0.14 | -0.20 | 0.4x | 15 | 40% |
| Donchian 채널 돌파 entryN=54, exitN=22 |
-10.5% | -67.7% | -0.19 | -0.16 | 0.5x | 15 | 26% |
| ADX / DI 방향성 period=30, threshold=30 |
-0.5% | -5.1% | -0.21 | -0.10 | 1.0x | 2 | 0% |
| ROC 모멘텀 n=73, threshold=-0.01 |
-15.7% | -73.8% | -0.24 | -0.21 | 0.4x | 65 | 39% |
| Parabolic SAR step=0.01, maxStep=0.14 |
-22.5% | -88.3% | -0.32 | -0.25 | 0.2x | 77 | 51% |
| MACD fast=3, slow=49, signal=12 |
-30.7% | -95.5% | -0.52 | -0.32 | 0.1x | 131 | 52% |
| Buy and hold | -38.1% | -96.7% | -0.31 | -0.39 | 0.1x | 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 30-day average price crosses above the 124-day average
- Sell — Sell (to cash) when the 30-day average falls below the 124-day average