Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gentex Corporation backtest
10 trend-following strategies were compared on the full daily history of Gentex Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.0%, drawdown -73.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -71.7%, Sharpe 0.44, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=43, slow=110 |
9.4% | -71.7% | 0.44 | 0.13 | 56.1x | 99 | 56% |
| Donchian 채널 돌파 entryN=87, exitN=74 |
9.0% | -71.9% | 0.43 | 0.12 | 45.9x | 73 | 54% |
| EMA 크로스오버 fast=41, slow=115 |
7.8% | -72.9% | 0.39 | 0.11 | 28.2x | 91 | 58% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=27, mult=1.9 |
5.9% | -72.0% | 0.34 | 0.08 | 12.7x | 216 | 42% |
| ROC 모멘텀 n=77, threshold=0.03 |
5.9% | -66.5% | 0.34 | 0.09 | 12.8x | 445 | 50% |
| Supertrend period=9, mult=3.9 |
5.0% | -77.6% | 0.31 | 0.06 | 8.7x | 202 | 52% |
| 볼린저 밴드 돌파 n=57, k=1.6 |
4.9% | -77.2% | 0.31 | 0.06 | 8.3x | 216 | 40% |
| ADX / DI 방향성 period=33, threshold=9 |
4.7% | -85.1% | 0.30 | 0.06 | 7.8x | 556 | 48% |
| Parabolic SAR step=0.01, maxStep=0.1 |
4.1% | -81.8% | 0.28 | 0.05 | 6.1x | 530 | 51% |
| MACD fast=17, slow=47, signal=15 |
2.3% | -92.0% | 0.23 | 0.03 | 2.8x | 536 | 51% |
| Buy and hold | 13.0% | -73.2% | 0.49 | 0.18 | 228.8x | 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 43-day average price crosses above the 110-day average
- Sell — Sell (to cash) when the 43-day average falls below the 110-day average