Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gogo Inc. backtest
10 trend-following strategies were compared on the full daily history of Gogo 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 4.3%, MDD -27.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -9.8%, drawdown -95.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.1%, MDD -31.4%, Sharpe 0.46, 4% exposure.
CAGR reference leader: Parabolic SAR — CAGR 8.1%, MDD -80.2%, exposure 47%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 17.9%p higher than buy and hold, while drawdown improves by 64.5%p (CAGR 4.3%, MDD -27.0%, exposure 2%).
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=10, atrPeriod=14, mult=2.7 |
8.1% | -31.4% | 0.46 | 0.26 | 2.8x | 20 | 4% |
| Parabolic SAR step=0.01, maxStep=0.2 |
8.1% | -80.2% | 0.40 | 0.10 | 2.8x | 161 | 47% |
| Donchian 채널 돌파 entryN=12, exitN=61 |
6.6% | -80.3% | 0.39 | 0.08 | 2.3x | 43 | 73% |
| MACD fast=6, slow=36, signal=13 |
6.8% | -73.4% | 0.38 | 0.09 | 2.4x | 241 | 51% |
| ROC 모멘텀 n=14, threshold=0.11 |
7.1% | -49.8% | 0.36 | 0.14 | 2.5x | 241 | 20% |
| 볼린저 밴드 돌파 n=39, k=2.9 |
5.9% | -56.2% | 0.33 | 0.11 | 2.1x | 32 | 18% |
| ADX / DI 방향성 period=23, threshold=39 |
4.3% | -27.0% | 0.31 | 0.16 | 1.7x | 6 | 2% |
| Supertrend period=29, mult=4.7 |
4.0% | -73.2% | 0.30 | 0.05 | 1.7x | 44 | 40% |
| EMA 크로스오버 fast=15, slow=50 |
2.4% | -78.9% | 0.27 | 0.03 | 1.4x | 60 | 41% |
| SMA 크로스오버 fast=8, slow=56 |
0.4% | -77.7% | 0.24 | 0.01 | 1.1x | 89 | 43% |
| Buy and hold | -9.8% | -95.9% | 0.19 | -0.10 | 0.3x | 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 10-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average