Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gentherm Inc backtest
10 trend-following strategies were compared on the full daily history of Gentherm Inc. 8 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.3%, MDD -66.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR -0.1%, drawdown -99.0%).
Sharpe leader (same as main): Parabolic SAR — CAGR 4.2%, MDD -97.9%, Sharpe 0.35, 51% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 4.3%, MDD -66.8%, exposure 16%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 1.1%p (CAGR 4.3%, MDD -66.8%, exposure 16%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.04, maxStep=0.22 |
4.2% | -97.9% | 0.35 | 0.04 | 3.9x | 949 | 51% |
| Donchian 채널 돌파 entryN=17, exitN=90 |
1.1% | -98.5% | 0.33 | 0.01 | 1.4x | 95 | 78% |
| SMA 크로스오버 fast=46, slow=87 |
3.0% | -92.8% | 0.30 | 0.03 | 2.7x | 93 | 51% |
| EMA 크로스오버 fast=16, slow=76 |
3.6% | -84.1% | 0.29 | 0.04 | 3.3x | 131 | 51% |
| 볼린저 밴드 돌파 n=51, k=3 |
4.3% | -66.8% | 0.28 | 0.06 | 4.1x | 59 | 16% |
| Supertrend period=24, mult=4.9 |
1.5% | -94.9% | 0.25 | 0.02 | 1.6x | 93 | 50% |
| ROC 모멘텀 n=69, threshold=-0.01 |
0.7% | -94.6% | 0.25 | 0.01 | 1.3x | 385 | 54% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=14, mult=2.2 |
2.3% | -82.4% | 0.24 | 0.03 | 2.1x | 153 | 31% |
| ADX / DI 방향성 period=8, threshold=14 |
-6.1% | -97.2% | 0.16 | -0.06 | 0.1x | 973 | 51% |
| MACD fast=14, slow=18, signal=19 |
-8.3% | -97.7% | 0.16 | -0.08 | 0.1x | 545 | 51% |
| Buy and hold | -0.1% | -99.0% | 0.40 | -0.00 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots