Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genworth Financial Inc backtest
10 trend-following strategies were compared on the full daily history of Genworth Financial Inc. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 2.3%, MDD -37.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR -3.1%, drawdown -97.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.4%, MDD -63.0%, Sharpe 0.45, 67% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 13.4%p higher than buy and hold, while drawdown improves by 34.7%p (CAGR 2.3%, MDD -37.5%, exposure 9%).
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=45, exitN=101 |
10.4% | -63.0% | 0.45 | 0.16 | 8.9x | 29 | 67% |
| SMA 크로스오버 fast=35, slow=115 |
8.7% | -82.1% | 0.43 | 0.11 | 6.4x | 55 | 53% |
| Supertrend period=8, mult=5 |
7.7% | -68.7% | 0.39 | 0.11 | 5.2x | 65 | 52% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=19, mult=2.1 |
5.5% | -59.4% | 0.33 | 0.09 | 3.3x | 103 | 31% |
| 볼린저 밴드 돌파 n=31, k=2.5 |
5.3% | -42.8% | 0.33 | 0.12 | 3.2x | 90 | 21% |
| EMA 크로스오버 fast=21, slow=54 |
4.6% | -88.2% | 0.30 | 0.05 | 2.7x | 107 | 53% |
| ROC 모멘텀 n=109, threshold=-0.07 |
3.2% | -93.2% | 0.27 | 0.03 | 2.0x | 175 | 65% |
| ADX / DI 방향성 period=17, threshold=30 |
2.3% | -37.5% | 0.22 | 0.06 | 1.7x | 56 | 9% |
| MACD fast=19, slow=26, signal=17 |
-4.9% | -94.6% | 0.14 | -0.05 | 0.3x | 281 | 51% |
| Parabolic SAR step=0.015, maxStep=0.3 |
-4.5% | -85.1% | 0.07 | -0.05 | 0.4x | 369 | 51% |
| Buy and hold | -3.1% | -97.7% | 0.29 | -0.03 | 0.5x | 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 45 days
- Sell — Sell when price breaks below the lowest low of the last 101 days