Trend-Following Backtester · Guide · backtest 한국어
equity · US
Grand Canyon Education, Inc. backtest
10 trend-following strategies were compared on the full daily history of Grand Canyon Education, Inc.. 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 15.2%, drawdown -54.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.4%, MDD -51.2%, Sharpe 0.50, 60% 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=66, slow=119 |
9.4% | -51.2% | 0.50 | 0.18 | 4.9x | 32 | 60% |
| ROC 모멘텀 n=161, threshold=-0.08 |
9.1% | -57.3% | 0.46 | 0.16 | 4.6x | 69 | 77% |
| EMA 크로스오버 fast=42, slow=70 |
8.5% | -48.0% | 0.46 | 0.18 | 4.2x | 42 | 63% |
| 볼린저 밴드 돌파 n=41, k=3.3 |
3.5% | -22.7% | 0.44 | 0.15 | 1.8x | 26 | 13% |
| Donchian 채널 돌파 entryN=117, exitN=86 |
6.6% | -61.2% | 0.40 | 0.11 | 3.1x | 20 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
5.9% | -46.3% | 0.36 | 0.13 | 2.7x | 155 | 54% |
| Supertrend period=19, mult=5 |
4.0% | -57.6% | 0.29 | 0.07 | 2.0x | 49 | 59% |
| ADX / DI 방향성 period=39, threshold=32 |
0.7% | -6.0% | 0.28 | 0.12 | 1.1x | 2 | 2% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=17, mult=3 |
1.0% | -27.9% | 0.16 | 0.04 | 1.2x | 44 | 14% |
| MACD fast=11, slow=44, signal=8 |
-0.5% | -60.6% | 0.09 | -0.01 | 0.9x | 325 | 49% |
| Buy and hold | 15.2% | -54.8% | 0.58 | 0.28 | 12.2x | 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 66-day average price crosses above the 119-day average
- Sell — Sell (to cash) when the 66-day average falls below the 119-day average