Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gartner, Inc. backtest
10 trend-following strategies were compared on the full daily history of Gartner, Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 12.9%, MDD -53.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 13.3%, drawdown -86.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.9%, MDD -53.8%, Sharpe 0.58, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 32.1%p (CAGR 12.9%, MDD -53.8%, exposure 65%).
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=52, slow=211 |
12.9% | -53.8% | 0.58 | 0.24 | 54.9x | 36 | 65% |
| EMA 크로스오버 fast=49, slow=131 |
11.4% | -66.8% | 0.53 | 0.17 | 35.2x | 50 | 66% |
| Donchian 채널 돌파 entryN=118, exitN=77 |
10.2% | -83.3% | 0.51 | 0.12 | 24.6x | 37 | 56% |
| ROC 모멘텀 n=142, threshold=-0.04 |
10.6% | -71.7% | 0.50 | 0.15 | 27.2x | 217 | 70% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=36, mult=1.2 |
6.9% | -73.8% | 0.38 | 0.09 | 8.9x | 221 | 54% |
| Parabolic SAR step=0.005, maxStep=0.24 |
7.0% | -76.1% | 0.38 | 0.09 | 9.3x | 279 | 57% |
| Supertrend period=10, mult=3.2 |
6.8% | -71.7% | 0.37 | 0.10 | 8.7x | 199 | 56% |
| ADX / DI 방향성 period=34, threshold=31 |
1.7% | -15.5% | 0.30 | 0.11 | 1.7x | 12 | 3% |
| 볼린저 밴드 돌파 n=40, k=3.3 |
2.6% | -47.8% | 0.28 | 0.05 | 2.3x | 39 | 13% |
| MACD fast=16, slow=58, signal=16 |
2.3% | -66.5% | 0.22 | 0.04 | 2.1x | 423 | 51% |
| Buy and hold | 13.3% | -86.0% | 0.51 | 0.15 | 61.2x | 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 52-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 52-day average falls below the 211-day average