Trend-Following Backtester · Guide · backtest 한국어
equity · US
GH Research PLC backtest
10 trend-following strategies were compared on the full daily history of GH Research PLC. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 23.3%, MDD -47.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 6.6%, drawdown -81.1%).
Sharpe leader (same as main): Supertrend — CAGR 23.3%, MDD -47.7%, Sharpe 0.62, 41% exposure.
Return/drawdown alternative: Supertrend — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 23.3%, MDD -47.7%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=2.9 |
23.3% | -47.7% | 0.62 | 0.49 | 3.0x | 23 | 41% |
| Donchian 채널 돌파 entryN=9, exitN=61 |
17.5% | -76.0% | 0.58 | 0.23 | 2.3x | 13 | 85% |
| SMA 크로스오버 fast=38, slow=81 |
15.4% | -62.0% | 0.52 | 0.25 | 2.1x | 15 | 49% |
| ADX / DI 방향성 period=8, threshold=26 |
12.5% | -55.2% | 0.47 | 0.23 | 1.8x | 90 | 38% |
| EMA 크로스오버 fast=10, slow=177 |
3.7% | -55.3% | 0.32 | 0.07 | 1.2x | 17 | 43% |
| ROC 모멘텀 n=79, threshold=-0.01 |
1.0% | -69.3% | 0.30 | 0.01 | 1.1x | 47 | 52% |
| 볼린저 밴드 돌파 n=42, k=1.7 |
0.9% | -59.2% | 0.29 | 0.02 | 1.0x | 32 | 36% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=20, mult=1.4 |
1.3% | -52.2% | 0.27 | 0.02 | 1.1x | 25 | 32% |
| MACD fast=18, slow=50, signal=14 |
-2.6% | -61.4% | 0.26 | -0.04 | 0.9x | 62 | 49% |
| Parabolic SAR step=0.03, maxStep=0.16 |
-7.5% | -82.9% | 0.18 | -0.09 | 0.7x | 140 | 48% |
| Buy and hold | 6.6% | -81.1% | 0.48 | 0.08 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)