Trend-Following Backtester · Guide · backtest 한국어
equity · AU
Goodman Group backtest
10 trend-following strategies were compared on the full daily history of Goodman Group. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 3.3%, MDD -22.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR 2.3%, drawdown -97.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.5%, MDD -44.6%, Sharpe 0.66, 64% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 53.3%p (CAGR 3.3%, MDD -22.3%, exposure 19%).
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=34, slow=117 |
12.5% | -44.6% | 0.66 | 0.28 | 12.6x | 47 | 64% |
| Donchian 채널 돌파 entryN=74, exitN=80 |
12.1% | -30.1% | 0.66 | 0.40 | 11.6x | 21 | 67% |
| EMA 크로스오버 fast=42, slow=59 |
10.0% | -39.8% | 0.57 | 0.25 | 7.7x | 58 | 67% |
| Supertrend period=37, mult=4.5 |
9.0% | -67.7% | 0.49 | 0.13 | 6.3x | 57 | 62% |
| ROC 모멘텀 n=113, threshold=-0.03 |
7.7% | -37.7% | 0.46 | 0.21 | 5.0x | 164 | 71% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=2.9 |
5.0% | -33.7% | 0.40 | 0.15 | 2.8x | 68 | 35% |
| ADX / DI 방향성 period=38, threshold=17 |
3.3% | -22.3% | 0.35 | 0.15 | 2.0x | 46 | 19% |
| 볼린저 밴드 돌파 n=70, k=1.7 |
3.1% | -41.3% | 0.27 | 0.07 | 1.9x | 92 | 45% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.1% | -62.8% | 0.21 | 0.03 | 1.6x | 188 | 59% |
| MACD fast=9, slow=39, signal=9 |
-5.5% | -86.6% | -0.07 | -0.06 | 0.3x | 459 | 51% |
| Buy and hold | 2.3% | -97.9% | 0.26 | 0.02 | 1.6x | 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 34-day average price crosses above the 117-day average
- Sell — Sell (to cash) when the 34-day average falls below the 117-day average