Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gorman-Rupp Company (The) backtest
10 trend-following strategies were compared on the full daily history of Gorman-Rupp Company (The). 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.2%, drawdown -67.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.0%, MDD -69.8%, Sharpe 0.28, 84% 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=13, exitN=74 |
4.0% | -69.8% | 0.28 | 0.06 | 6.3x | 145 | 84% |
| ROC 모멘텀 Hold-like · Exposure 96% n=21, threshold=-0.12 |
3.4% | -81.0% | 0.27 | 0.04 | 4.8x | 216 | 96% |
| SMA 크로스오버 fast=54, slow=115 |
2.6% | -65.9% | 0.23 | 0.04 | 3.3x | 119 | 60% |
| EMA 크로스오버 fast=57, slow=134 |
2.6% | -75.3% | 0.23 | 0.03 | 3.2x | 73 | 64% |
| ADX / DI 방향성 period=33, threshold=46 |
0.2% | -3.9% | 0.17 | 0.04 | 1.1x | 2 | 0% |
| Supertrend period=15, mult=3.4 |
-1.0% | -75.9% | 0.08 | -0.01 | 0.6x | 362 | 52% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-2.5% | -91.7% | 0.01 | -0.03 | 0.3x | 570 | 51% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=26, mult=2.9 |
-3.0% | -88.6% | -0.11 | -0.03 | 0.2x | 220 | 29% |
| 볼린저 밴드 돌파 n=52, k=3.3 |
-2.3% | -75.4% | -0.13 | -0.03 | 0.3x | 74 | 12% |
| MACD fast=18, slow=27, signal=11 |
-7.0% | -98.6% | -0.18 | -0.07 | 0.0x | 752 | 50% |
| Buy and hold | 9.2% | -67.6% | 0.42 | 0.14 | 58.4x | 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 13 days
- Sell — Sell when price breaks below the lowest low of the last 74 days