Trend-Following Backtester · Guide · backtest 한국어

equity · US

Gap, Inc. (The) backtest

10 trend-following strategies were compared on the full daily history of Gap, Inc. (The). 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.0%, MDD -63.3%).

Data 1980-03-17 ~ 2026-07-31daily bars 11,688 (46.4 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 14.5%, drawdown -89.6%).

Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.0%, MDD -63.3%, Sharpe 0.67, 25% exposure.

CAGR reference leader: Donchian 채널 돌파 — CAGR 15.7%, MDD -75.5%, exposure 58%.

Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 26.3%p (CAGR 12.0%, MDD -63.3%, exposure 25%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ADX / DI 방향성
period=33, threshold=18
12.0%-63.3%0.670.19191.0x15425%
Donchian 채널 돌파
entryN=89, exitN=88
15.7%-75.5%0.630.21881.1x5458%
볼린저 밴드 돌파
n=56, k=2.7
11.4%-65.6%0.620.17149.5x9825%
Keltner 채널 돌파
emaPeriod=59, atrPeriod=9, mult=3.6
11.8%-65.5%0.610.18176.9x13232%
Supertrend
period=11, mult=3.5
14.0%-76.7%0.580.18442.7x27254%
SMA 크로스오버
fast=50, slow=167
13.5%-80.7%0.560.17355.1x7458%
EMA 크로스오버
fast=31, slow=74
12.4%-89.2%0.540.14225.7x14257%
ROC 모멘텀
n=81, threshold=0.09
10.3%-88.1%0.490.1295.7x47243%
MACD
fast=17, slow=53, signal=18
7.2%-77.2%0.380.0924.7x48751%
Parabolic SAR
step=0.015, maxStep=0.22
5.6%-96.0%0.330.0612.7x79653%
Buy and hold14.5%-89.6%0.530.16539.8x1100%
1x 10x 100x 1,000x 1981 1987 1993 1999 2005 2011 2017 2023 Donchian 채널 돌파ADX / DI 방향성Buy and hold
ADX / DI 방향성 (Sharpe leader), Donchian 채널 돌파 (CAGR reference), Buy and hold.
0% -22% -45% -67% -90% 1981 1987 1993 1999 2005 2011 2017 2023 Buy and holdDonchian 채널 돌파ADX / DI 방향성
ADX / DI 방향성 maximum drawdown -63.3% (1998-07-14 → 2012-02-24), recovered after 9,382 days.

Rules of the top strategy

Looks at both the direction and the strength of the trend; holds only in a strong uptrend.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupAll asset reports

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