Trend-Following Backtester · Guide · backtest 한국어
equity · US
GameStop Corporation backtest
10 trend-following strategies were compared on the full daily history of GameStop Corporation. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
6 of 10 beat buy and hold (CAGR 9.2%, drawdown -95.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.0%, MDD -88.3%, Sharpe 0.54, 34% 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=146, exitN=68 |
19.0% | -88.3% | 0.54 | 0.21 | 70.1x | 16 | 34% |
| SMA 크로스오버 fast=59, slow=213 |
17.3% | -88.3% | 0.52 | 0.20 | 49.2x | 36 | 43% |
| EMA 크로스오버 fast=77, slow=186 |
16.2% | -88.3% | 0.51 | 0.18 | 39.3x | 26 | 43% |
| ADX / DI 방향성 period=36, threshold=21 |
15.1% | -84.7% | 0.49 | 0.18 | 30.9x | 42 | 15% |
| ROC 모멘텀 n=140, threshold=0.24 |
14.9% | -88.3% | 0.48 | 0.17 | 29.7x | 142 | 26% |
| 볼린저 밴드 돌파 n=77, k=3.2 |
13.0% | -88.3% | 0.45 | 0.15 | 19.7x | 18 | 12% |
| Supertrend period=4, mult=4 |
8.8% | -88.7% | 0.43 | 0.10 | 7.9x | 120 | 53% |
| MACD fast=16, slow=72, signal=14 |
4.1% | -91.9% | 0.36 | 0.04 | 2.7x | 271 | 50% |
| Keltner 채널 돌파 emaPeriod=76, atrPeriod=28, mult=4 |
6.4% | -96.0% | 0.36 | 0.07 | 4.6x | 46 | 22% |
| Parabolic SAR step=0.02, maxStep=0.14 |
4.3% | -89.7% | 0.35 | 0.05 | 2.8x | 490 | 48% |
| Buy and hold | 9.2% | -95.6% | 0.47 | 0.10 | 8.6x | 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 146 days
- Sell — Sell when price breaks below the lowest low of the last 68 days