Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gevo, Inc. backtest
10 trend-following strategies were compared on the full daily history of Gevo, Inc.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 8.5%, MDD -52.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -51.2%, drawdown -100.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.3%, MDD -62.7%, Sharpe 0.42, 3% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 60.6%p higher than buy and hold, while drawdown improves by 37.3%p (CAGR 8.5%, MDD -52.9%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=3.7 |
9.3% | -62.7% | 0.42 | 0.15 | 4.0x | 8 | 3% |
| ADX / DI 방향성 period=23, threshold=38 |
8.5% | -52.9% | 0.40 | 0.16 | 3.5x | 8 | 3% |
| SMA 크로스오버 fast=30, slow=148 |
6.6% | -76.4% | 0.37 | 0.09 | 2.7x | 24 | 20% |
| EMA 크로스오버 fast=60, slow=192 |
5.0% | -79.0% | 0.31 | 0.06 | 2.1x | 6 | 15% |
| Donchian 채널 돌파 entryN=85, exitN=30 |
-2.3% | -93.7% | 0.24 | -0.02 | 0.7x | 18 | 15% |
| 볼린저 밴드 돌파 n=46, k=3.5 |
-1.3% | -89.5% | 0.21 | -0.01 | 0.8x | 22 | 10% |
| ROC 모멘텀 n=86, threshold=0.14 |
-6.7% | -95.1% | 0.17 | -0.07 | 0.3x | 98 | 18% |
| MACD fast=11, slow=39, signal=8 |
-35.0% | -100.0% | 0.07 | -0.35 | 0.0x | 302 | 54% |
| Supertrend period=24, mult=2.9 |
-16.6% | -98.8% | -0.00 | -0.17 | 0.1x | 86 | 25% |
| Parabolic SAR step=0.015, maxStep=0.44 |
-37.9% | -100.0% | -0.11 | -0.38 | 0.0x | 238 | 39% |
| Buy and hold | -51.2% | -100.0% | 0.02 | -0.51 | 0.0x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average