Trend-Following Backtester · Guide · backtest 한국어
equity · US
GXO Logistics, Inc. backtest
10 trend-following strategies were compared on the full daily history of GXO Logistics, Inc.. 7 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 2.0%, MDD -9.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR -1.7%, drawdown -69.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 3.9%, MDD -15.6%, Sharpe 0.40, 9% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.6%p higher than buy and hold, while drawdown improves by 54.0%p (CAGR 2.0%, MDD -9.8%, exposure 6%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=26, threshold=25 |
3.9% | -15.6% | 0.40 | 0.25 | 1.2x | 10 | 9% |
| SMA 크로스오버 fast=33, slow=132 |
3.8% | -48.6% | 0.28 | 0.08 | 1.2x | 14 | 39% |
| 볼린저 밴드 돌파 n=15, k=2.9 |
2.0% | -9.8% | 0.27 | 0.21 | 1.1x | 10 | 6% |
| Supertrend period=12, mult=3.8 |
2.0% | -36.1% | 0.21 | 0.06 | 1.1x | 20 | 44% |
| Parabolic SAR step=0.025, maxStep=0.14 |
0.9% | -52.9% | 0.17 | 0.02 | 1.0x | 120 | 53% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=23, mult=1.1 |
-1.0% | -26.8% | 0.06 | -0.04 | 1.0x | 44 | 38% |
| ROC 모멘텀 n=130, threshold=0.13 |
-1.0% | -45.2% | 0.03 | -0.02 | 1.0x | 36 | 27% |
| EMA 크로스오버 fast=33, slow=48 |
-3.0% | -47.3% | 0.02 | -0.06 | 0.9x | 21 | 45% |
| Donchian 채널 돌파 entryN=40, exitN=49 |
-3.7% | -39.2% | -0.02 | -0.09 | 0.8x | 13 | 46% |
| MACD fast=28, slow=37, signal=15 |
-8.4% | -60.6% | -0.14 | -0.14 | 0.6x | 59 | 49% |
| Buy and hold | -1.7% | -69.6% | 0.18 | -0.02 | 0.9x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 26-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)