Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gates Industrial Corporation Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gates Industrial Corporation Ltd.. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 4.2%, MDD -12.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.9%, drawdown -70.1%).
Sharpe leader (same as main): MACD — CAGR 10.0%, MDD -51.6%, Sharpe 0.48, 52% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 4.2%, MDD -12.5%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=31, signal=15 |
10.0% | -51.6% | 0.48 | 0.19 | 2.2x | 102 | 52% |
| 볼린저 밴드 돌파 n=18, k=2.7 |
4.2% | -12.5% | 0.48 | 0.33 | 1.4x | 22 | 11% |
| Donchian 채널 돌파 entryN=13, exitN=75 |
8.3% | -57.9% | 0.41 | 0.14 | 2.0x | 29 | 76% |
| Parabolic SAR step=0.01, maxStep=0.24 |
5.9% | -46.0% | 0.35 | 0.13 | 1.6x | 108 | 52% |
| ROC 모멘텀 n=47, threshold=-0.12 |
5.8% | -44.7% | 0.34 | 0.13 | 1.6x | 61 | 79% |
| EMA 크로스오버 fast=6, slow=89 |
5.0% | -37.4% | 0.32 | 0.13 | 1.5x | 37 | 56% |
| Supertrend period=23, mult=2.2 |
2.0% | -61.7% | 0.21 | 0.03 | 1.2x | 90 | 53% |
| SMA 크로스오버 fast=45, slow=83 |
1.9% | -54.4% | 0.20 | 0.03 | 1.2x | 25 | 52% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=12, mult=1.7 |
0.7% | -49.7% | 0.13 | 0.01 | 1.1x | 68 | 31% |
| ADX / DI 방향성 period=14, threshold=25 |
-3.9% | -37.4% | -0.20 | -0.11 | 0.7x | 60 | 21% |
| Buy and hold | 4.9% | -70.1% | 0.32 | 0.07 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/31) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line