Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genpact Limited backtest
10 trend-following strategies were compared on the full daily history of Genpact Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.4%, drawdown -64.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.0%, MDD -40.7%, Sharpe 0.25, 47% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=28, exitN=17 |
3.0% | -40.7% | 0.25 | 0.07 | 1.8x | 95 | 47% |
| SMA 크로스오버 fast=27, slow=92 |
2.9% | -41.8% | 0.24 | 0.07 | 1.7x | 61 | 55% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=14, mult=3.6 |
2.2% | -37.1% | 0.23 | 0.06 | 1.5x | 40 | 28% |
| EMA 크로스오버 fast=34, slow=90 |
2.1% | -44.0% | 0.20 | 0.05 | 1.5x | 55 | 56% |
| Supertrend period=7, mult=5 |
1.8% | -62.5% | 0.19 | 0.03 | 1.4x | 57 | 51% |
| ADX / DI 방향성 period=13, threshold=37 |
1.0% | -17.1% | 0.18 | 0.06 | 1.2x | 44 | 8% |
| ROC 모멘텀 n=148, threshold=0 |
1.5% | -43.7% | 0.17 | 0.03 | 1.3x | 132 | 56% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-1.6% | -50.8% | 0.03 | -0.03 | 0.7x | 159 | 52% |
| MACD fast=10, slow=30, signal=17 |
-1.5% | -59.1% | 0.03 | -0.03 | 0.7x | 295 | 51% |
| 볼린저 밴드 돌파 n=44, k=2.7 |
-1.3% | -41.2% | -0.06 | -0.03 | 0.8x | 43 | 16% |
| Buy and hold | 4.4% | -64.1% | 0.29 | 0.07 | 2.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 28 days
- Sell — Sell when price breaks below the lowest low of the last 17 days