Trend-Following Backtester · Guide · backtest 한국어
equity · US
Graham Corporation backtest
10 trend-following strategies were compared on the full daily history of Graham Corporation. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 9.6%, drawdown -87.7%).
Sharpe leader (same as main): Supertrend — CAGR 12.2%, MDD -82.2%, Sharpe 0.50, 51% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=19, mult=4.2 |
12.2% | -82.2% | 0.50 | 0.15 | 207.2x | 248 | 51% |
| Donchian 채널 돌파 entryN=65, exitN=61 |
10.3% | -77.5% | 0.45 | 0.13 | 95.0x | 83 | 54% |
| 볼린저 밴드 돌파 n=52, k=3.3 |
7.0% | -63.7% | 0.42 | 0.11 | 22.6x | 70 | 16% |
| MACD fast=16, slow=71, signal=23 |
8.5% | -90.7% | 0.40 | 0.09 | 43.3x | 424 | 50% |
| ADX / DI 방향성 period=32, threshold=10 |
8.2% | -82.9% | 0.40 | 0.10 | 38.2x | 456 | 45% |
| SMA 크로스오버 fast=19, slow=90 |
8.1% | -79.1% | 0.40 | 0.10 | 36.4x | 151 | 53% |
| EMA 크로스오버 fast=32, slow=48 |
7.7% | -80.9% | 0.38 | 0.09 | 30.7x | 149 | 52% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=18, mult=3.8 |
6.1% | -73.3% | 0.36 | 0.08 | 15.8x | 148 | 27% |
| ROC 모멘텀 n=122, threshold=0.02 |
5.1% | -84.7% | 0.31 | 0.06 | 10.0x | 423 | 52% |
| Parabolic SAR step=0.02, maxStep=0.16 |
-2.2% | -95.9% | 0.10 | -0.02 | 0.4x | 842 | 49% |
| Buy and hold | 9.6% | -87.7% | 0.43 | 0.11 | 70.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 19-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)