Trend-Following Backtester · Guide · backtest 한국어
equity · US
GoPro, Inc. backtest
10 trend-following strategies were compared on the full daily history of GoPro, 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 5.1%, MDD -41.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -26.6%, drawdown -99.5%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 6.6%, MDD -75.4%, Sharpe 0.36, 40% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 33.2%p higher than buy and hold, while drawdown improves by 24.0%p (CAGR 5.1%, MDD -41.3%, exposure 4%).
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=9, slow=35 |
6.6% | -75.4% | 0.36 | 0.09 | 2.2x | 84 | 40% |
| 볼린저 밴드 돌파 n=39, k=1.1 |
6.5% | -75.3% | 0.36 | 0.09 | 2.1x | 74 | 30% |
| ADX / DI 방향성 period=21, threshold=36 |
5.1% | -41.3% | 0.33 | 0.12 | 1.8x | 10 | 4% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=15, mult=4 |
3.7% | -51.2% | 0.27 | 0.07 | 1.6x | 16 | 9% |
| Supertrend period=29, mult=3 |
0.7% | -91.7% | 0.23 | 0.01 | 1.1x | 78 | 36% |
| ROC 모멘텀 n=40, threshold=0.07 |
0.4% | -78.7% | 0.22 | 0.00 | 1.0x | 138 | 29% |
| Donchian 채널 돌파 entryN=28, exitN=17 |
-0.8% | -82.2% | 0.18 | -0.01 | 0.9x | 54 | 30% |
| Parabolic SAR step=0.02, maxStep=0.32 |
-5.3% | -89.9% | 0.14 | -0.06 | 0.5x | 233 | 42% |
| MACD fast=12, slow=79, signal=31 |
-6.6% | -93.4% | 0.10 | -0.07 | 0.4x | 79 | 49% |
| EMA 크로스오버 fast=13, slow=103 |
-5.2% | -71.1% | 0.07 | -0.07 | 0.5x | 30 | 30% |
| Buy and hold | -26.6% | -99.5% | -0.11 | -0.27 | 0.0x | 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 9-day average price crosses above the 35-day average
- Sell — Sell (to cash) when the 9-day average falls below the 35-day average