Trend-Following Backtester · Guide · backtest 한국어
equity · US
Group 1 Automotive, Inc. backtest
10 trend-following strategies were compared on the full daily history of Group 1 Automotive, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.7%, MDD -64.4%).
Results by strategy
0 of 10 beat buy and hold (CAGR 11.5%, drawdown -91.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 11.4%, MDD -73.9%, Sharpe 0.49, 58% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 17.1%p (CAGR 10.7%, MDD -64.4%, exposure 47%).
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=61, slow=232 |
11.4% | -73.9% | 0.49 | 0.15 | 22.2x | 28 | 58% |
| ROC 모멘텀 n=81, threshold=0.05 |
10.7% | -64.4% | 0.48 | 0.17 | 18.5x | 314 | 47% |
| Supertrend period=22, mult=5 |
10.0% | -63.9% | 0.45 | 0.16 | 15.3x | 87 | 56% |
| 볼린저 밴드 돌파 n=50, k=1.9 |
8.4% | -50.7% | 0.44 | 0.17 | 10.3x | 122 | 35% |
| Keltner 채널 돌파 emaPeriod=68, atrPeriod=25, mult=4 |
7.6% | -62.3% | 0.44 | 0.12 | 8.3x | 64 | 26% |
| Donchian 채널 돌파 entryN=58, exitN=27 |
8.5% | -55.6% | 0.44 | 0.15 | 10.5x | 90 | 39% |
| ADX / DI 방향성 period=22, threshold=31 |
4.2% | -21.7% | 0.42 | 0.19 | 3.2x | 38 | 7% |
| EMA 크로스오버 fast=19, slow=130 |
8.6% | -67.0% | 0.42 | 0.13 | 10.6x | 90 | 57% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.7% | -74.3% | 0.28 | 0.05 | 2.8x | 257 | 55% |
| MACD fast=14, slow=55, signal=9 |
-1.9% | -93.3% | 0.12 | -0.02 | 0.6x | 469 | 50% |
| Buy and hold | 11.5% | -91.1% | 0.46 | 0.13 | 22.6x | 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 61-day average price crosses above the 232-day average
- Sell — Sell (to cash) when the 61-day average falls below the 232-day average