Trend-Following Backtester · Guide · backtest 한국어
equity · US
Grid Dynamics Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Grid Dynamics 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 8.6%, MDD -19.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -2.4%, drawdown -87.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 30.6%, MDD -27.1%, Sharpe 0.90, 62% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.0%p higher than buy and hold, while drawdown improves by 60.6%p (CAGR 8.6%, MDD -19.0%, exposure 14%).
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=6, slow=36 |
30.6% | -27.1% | 0.90 | 1.13 | 8.3x | 52 | 62% |
| ADX / DI 방향성 period=28, threshold=30 |
8.6% | -19.0% | 0.77 | 0.45 | 1.9x | 10 | 14% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=35, mult=4 |
13.9% | -23.9% | 0.72 | 0.58 | 2.8x | 10 | 20% |
| Supertrend period=35, mult=2.7 |
19.4% | -35.9% | 0.68 | 0.54 | 4.1x | 41 | 58% |
| Donchian 채널 돌파 entryN=41, exitN=45 |
19.3% | -53.6% | 0.65 | 0.36 | 4.0x | 17 | 61% |
| EMA 크로스오버 fast=7, slow=133 |
16.6% | -47.8% | 0.63 | 0.35 | 3.4x | 21 | 45% |
| ROC 모멘텀 n=34, threshold=-0.04 |
18.3% | -46.1% | 0.61 | 0.40 | 3.8x | 73 | 67% |
| Parabolic SAR step=0.01, maxStep=0.08 |
16.3% | -57.6% | 0.58 | 0.28 | 3.3x | 94 | 55% |
| MACD fast=19, slow=25, signal=19 |
15.8% | -50.9% | 0.57 | 0.31 | 3.2x | 90 | 52% |
| 볼린저 밴드 돌파 n=52, k=2.8 |
10.6% | -38.4% | 0.55 | 0.28 | 2.2x | 16 | 31% |
| Buy and hold | -2.4% | -87.6% | 0.24 | -0.03 | 0.8x | 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 6-day average price crosses above the 36-day average
- Sell — Sell (to cash) when the 6-day average falls below the 36-day average