Trend-Following Backtester · Guide · backtest 한국어

equity · US

Greenbrier Companies, Inc. (The) backtest

10 trend-following strategies were compared on the full daily history of Greenbrier Companies, Inc. (The). 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.6%, MDD -62.8%).

Data 1994-07-14 ~ 2026-07-31daily bars 8,066 (32.0 years)Costs 0.5%Venue XNYSMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 3.9%, drawdown -95.8%).

Sharpe leader (same as main): Supertrend — CAGR 7.6%, MDD -62.8%, Sharpe 0.39, 49% exposure.

Return/drawdown alternative: Supertrend — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 7.6%, MDD -62.8%, exposure 49%).

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
Supertrend
period=28, mult=4.3
7.6%-62.8%0.390.1210.5x14049%
ROC 모멘텀
n=85, threshold=-0.09
7.0%-76.3%0.370.098.7x26767%
Keltner 채널 돌파
emaPeriod=47, atrPeriod=26, mult=1.9
6.3%-74.1%0.360.097.2x17237%
EMA 크로스오버
fast=40, slow=204
5.8%-72.4%0.340.086.1x4451%
SMA 크로스오버
fast=40, slow=93
5.3%-75.3%0.320.075.2x8250%
Donchian 채널 돌파
entryN=45, exitN=64
4.4%-65.4%0.300.073.9x7360%
볼린저 밴드 돌파
n=56, k=1.6
4.1%-73.3%0.280.063.6x14336%
Parabolic SAR
step=0.01, maxStep=0.3
1.4%-86.1%0.210.021.6x40550%
ADX / DI 방향성
period=32, threshold=29
0.9%-31.4%0.150.031.3x264%
MACD
fast=13, slow=34, signal=7
-2.3%-88.2%0.11-0.030.5x61552%
Buy and hold3.9%-95.8%0.330.043.4x1100%
1x 10x 1995 1999 2003 2007 2011 2015 2019 2023 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -24% -48% -72% -96% 1995 1999 2003 2007 2011 2015 2019 2023 Buy and holdSupertrend
Supertrend maximum drawdown -62.8% (1994-10-31 → 2002-10-21), recovered after 3,353 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

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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