Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gibraltar Industries, Inc. backtest
10 trend-following strategies were compared on the full daily history of Gibraltar Industries, 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 5.4%, drawdown -88.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.1%, MDD -68.4%, Sharpe 0.28, 54% 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=17, slow=89 |
4.1% | -68.4% | 0.28 | 0.06 | 3.7x | 119 | 54% |
| ADX / DI 방향성 period=39, threshold=30 |
2.0% | -23.0% | 0.22 | 0.09 | 1.9x | 8 | 5% |
| EMA 크로스오버 fast=23, slow=54 |
1.9% | -65.8% | 0.22 | 0.03 | 1.9x | 137 | 54% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=10, mult=3.1 |
1.0% | -16.2% | 0.21 | 0.06 | 1.4x | 16 | 1% |
| 볼린저 밴드 돌파 n=37, k=3.5 |
1.7% | -31.6% | 0.20 | 0.05 | 1.8x | 34 | 8% |
| MACD fast=26, slow=50, signal=40 |
0.9% | -84.8% | 0.19 | 0.01 | 1.3x | 231 | 51% |
| Donchian 채널 돌파 entryN=9, exitN=65 |
-2.4% | -87.9% | 0.16 | -0.03 | 0.5x | 131 | 83% |
| Supertrend period=21, mult=2.7 |
-1.3% | -74.8% | 0.12 | -0.02 | 0.6x | 239 | 49% |
| ROC 모멘텀 n=115, threshold=0 |
-4.4% | -91.4% | 0.02 | -0.05 | 0.2x | 288 | 53% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-5.1% | -88.9% | 0.02 | -0.06 | 0.2x | 619 | 51% |
| Buy and hold | 5.4% | -88.7% | 0.35 | 0.06 | 5.7x | 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 17-day average price crosses above the 89-day average
- Sell — Sell (to cash) when the 17-day average falls below the 89-day average