Trend-Following Backtester · Guide · backtest 한국어
equity · US
General Dynamics Corporation backtest
10 trend-following strategies were compared on the full daily history of General Dynamics Corporation. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 9.8%, MDD -50.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.7%, drawdown -78.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 9.8%, MDD -50.1%, Sharpe 0.54, 65% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 9.8%, MDD -60.0%, exposure 78%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.9%p lower than buy and hold, while drawdown improves by 28.1%p (CAGR 9.8%, MDD -50.1%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=29, slow=197 |
9.8% | -50.1% | 0.54 | 0.20 | 196.2x | 91 | 65% |
| Donchian 채널 돌파 entryN=47, exitN=75 |
9.8% | -64.6% | 0.52 | 0.15 | 200.7x | 103 | 72% |
| ROC 모멘텀 n=68, threshold=-0.07 |
9.8% | -60.0% | 0.51 | 0.16 | 202.4x | 415 | 78% |
| EMA 크로스오버 fast=28, slow=196 |
9.1% | -70.6% | 0.51 | 0.13 | 139.7x | 89 | 67% |
| Supertrend period=29, mult=4.6 |
5.5% | -68.4% | 0.36 | 0.08 | 21.1x | 247 | 59% |
| 볼린저 밴드 돌파 n=69, k=1.2 |
4.6% | -48.6% | 0.33 | 0.10 | 13.0x | 293 | 49% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=11, mult=1.9 |
4.1% | -50.5% | 0.31 | 0.08 | 9.8x | 351 | 46% |
| Parabolic SAR step=0.01, maxStep=0.02 |
4.0% | -68.8% | 0.29 | 0.06 | 9.4x | 321 | 60% |
| MACD fast=28, slow=54, signal=28 |
2.5% | -79.0% | 0.22 | 0.03 | 4.1x | 465 | 52% |
| ADX / DI 방향성 period=16, threshold=17 |
2.1% | -81.6% | 0.20 | 0.03 | 3.2x | 763 | 40% |
| Buy and hold | 11.7% | -78.2% | 0.52 | 0.15 | 530.9x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 29-day average price crosses above the 197-day average
- Sell — Sell (to cash) when the 29-day average falls below the 197-day average