Trend-Following Backtester · Guide · backtest 한국어
equity · US
General Motors Company backtest
10 trend-following strategies were compared on the full daily history of General Motors Company. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.0%, drawdown -63.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.3%, MDD -17.6%, Sharpe 0.40, 10% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.6%, MDD -51.5%, exposure 53%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=26, k=3.1 |
3.3% | -17.6% | 0.40 | 0.19 | 1.7x | 26 | 10% |
| SMA 크로스오버 fast=57, slow=88 |
5.6% | -51.5% | 0.35 | 0.11 | 2.4x | 51 | 53% |
| ROC 모멘텀 n=138, threshold=0.13 |
4.1% | -41.2% | 0.32 | 0.10 | 1.9x | 88 | 30% |
| Donchian 채널 돌파 entryN=13, exitN=57 |
4.9% | -54.1% | 0.31 | 0.09 | 2.1x | 57 | 77% |
| ADX / DI 방향성 period=31, threshold=20 |
2.9% | -19.4% | 0.31 | 0.15 | 1.6x | 28 | 12% |
| EMA 크로스오버 fast=46, slow=245 |
4.3% | -58.9% | 0.30 | 0.07 | 1.9x | 21 | 53% |
| Supertrend period=17, mult=4.6 |
3.4% | -50.4% | 0.26 | 0.07 | 1.7x | 57 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
1.8% | -47.2% | 0.19 | 0.04 | 1.3x | 141 | 51% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=12, mult=4 |
1.0% | -32.5% | 0.14 | 0.03 | 1.2x | 34 | 18% |
| MACD fast=7, slow=35, signal=13 |
-3.7% | -63.7% | -0.04 | -0.06 | 0.5x | 314 | 49% |
| Buy and hold | 6.0% | -63.9% | 0.34 | 0.09 | 2.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 26-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 26-day middle average