Trend-Following Backtester · Guide · backtest 한국어
equity · US
GATX Corporation backtest
10 trend-following strategies were compared on the full daily history of GATX Corporation. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 5.7%, MDD -52.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 5.4%, drawdown -73.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 5.7%, MDD -52.7%, Sharpe 0.34, 86% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 5.7%, MDD -52.7%, exposure 86%).
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=8, exitN=67 |
5.7% | -52.7% | 0.34 | 0.11 | 18.9x | 185 | 86% |
| ROC 모멘텀 n=36, threshold=-0.15 |
4.8% | -64.6% | 0.31 | 0.07 | 12.5x | 185 | 94% |
| SMA 크로스오버 fast=30, slow=125 |
3.7% | -52.0% | 0.28 | 0.07 | 7.1x | 126 | 58% |
| EMA 크로스오버 fast=47, slow=181 |
1.2% | -54.3% | 0.16 | 0.02 | 1.9x | 83 | 60% |
| Supertrend period=21, mult=5 |
1.1% | -66.2% | 0.15 | 0.02 | 1.8x | 220 | 56% |
| Parabolic SAR step=0.005, maxStep=0.38 |
0.3% | -71.5% | 0.12 | 0.00 | 1.2x | 445 | 54% |
| ADX / DI 방향성 period=25, threshold=40 |
0.3% | -21.3% | 0.11 | 0.01 | 1.2x | 16 | 1% |
| MACD fast=22, slow=41, signal=17 |
-1.2% | -77.9% | 0.04 | -0.02 | 0.5x | 583 | 50% |
| 볼린저 밴드 돌파 n=31, k=3 |
-0.5% | -52.8% | -0.00 | -0.01 | 0.8x | 114 | 12% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=18, mult=1.7 |
-2.6% | -84.5% | -0.07 | -0.03 | 0.2x | 470 | 37% |
| Buy and hold | 5.4% | -73.5% | 0.32 | 0.07 | 16.4x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 67 days