Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genesco Inc. backtest
10 trend-following strategies were compared on the full daily history of Genesco Inc.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
5 of 10 beat buy and hold (CAGR 2.3%, drawdown -90.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -77.6%, Sharpe 0.36, 67% 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=31, exitN=66 |
6.4% | -77.6% | 0.36 | 0.08 | 28.2x | 131 | 67% |
| SMA 크로스오버 fast=37, slow=147 |
5.1% | -81.8% | 0.32 | 0.06 | 14.4x | 103 | 55% |
| ROC 모멘텀 n=117, threshold=-0.04 |
2.6% | -78.7% | 0.26 | 0.03 | 4.0x | 403 | 58% |
| EMA 크로스오버 fast=44, slow=217 |
2.7% | -81.2% | 0.26 | 0.03 | 4.2x | 65 | 53% |
| Supertrend period=13, mult=3.8 |
2.5% | -86.6% | 0.25 | 0.03 | 3.8x | 236 | 50% |
| ADX / DI 방향성 period=47, threshold=11 |
1.0% | -77.1% | 0.18 | 0.01 | 1.7x | 316 | 36% |
| Parabolic SAR step=0.005, maxStep=0.38 |
-1.2% | -86.5% | 0.16 | -0.01 | 0.5x | 401 | 51% |
| 볼린저 밴드 돌파 n=58, k=3.5 |
0.8% | -40.1% | 0.13 | 0.02 | 1.6x | 46 | 9% |
| MACD fast=24, slow=43, signal=23 |
-4.5% | -96.9% | 0.08 | -0.05 | 0.1x | 517 | 52% |
| Keltner 채널 돌파 emaPeriod=60, atrPeriod=8, mult=3.7 |
-0.8% | -73.3% | 0.08 | -0.01 | 0.7x | 124 | 22% |
| Buy and hold | 2.3% | -90.1% | 0.33 | 0.03 | 3.4x | 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 31 days
- Sell — Sell when price breaks below the lowest low of the last 66 days