Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gorilla Technology Group Inc. backtest
10 trend-following strategies were compared on the full daily history of Gorilla Technology Group Inc.. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 52.4%, MDD -65.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -34.2%, drawdown -99.4%).
Sharpe leader (same as main): Supertrend — CAGR 52.4%, MDD -65.9%, Sharpe 0.81, 34% exposure.
Return/drawdown alternative: Supertrend — CAGR is 86.6%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 52.4%, MDD -65.9%, exposure 34%).
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=11, mult=1.9 |
52.4% | -65.9% | 0.81 | 0.79 | 9.0x | 70 | 34% |
| ADX / DI 방향성 period=30, threshold=26 |
40.4% | -77.4% | 0.73 | 0.52 | 5.9x | 10 | 17% |
| 볼린저 밴드 돌파 n=40, k=0.9 |
28.3% | -82.4% | 0.69 | 0.34 | 3.7x | 40 | 44% |
| Parabolic SAR step=0.03, maxStep=0.24 |
25.3% | -84.9% | 0.66 | 0.30 | 3.2x | 122 | 46% |
| SMA 크로스오버 fast=46, slow=101 |
22.0% | -81.2% | 0.60 | 0.27 | 2.8x | 11 | 40% |
| EMA 크로스오버 fast=58, slow=80 |
21.7% | -74.7% | 0.60 | 0.29 | 2.8x | 7 | 41% |
| Donchian 채널 돌파 entryN=93, exitN=33 |
21.1% | -77.9% | 0.57 | 0.27 | 2.7x | 8 | 31% |
| ROC 모멘텀 n=104, threshold=0.13 |
15.3% | -74.1% | 0.53 | 0.21 | 2.1x | 20 | 21% |
| MACD fast=16, slow=31, signal=19 |
-9.4% | -96.1% | 0.43 | -0.10 | 0.6x | 68 | 53% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=30, mult=3.4 |
-11.5% | -96.2% | 0.29 | -0.12 | 0.5x | 18 | 27% |
| Buy and hold | -34.2% | -99.4% | 0.33 | -0.34 | 0.1x | 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) — 11-day volatility, 1.9× band
- Sell — Sell when price drops below the trend line (flips down)