Trend-Following Backtester · Guide · backtest 한국어
equity · AU
GPT Group backtest
10 trend-following strategies were compared on the full daily history of GPT Group. 6 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 0.4%, MDD -16.9%).
Results by strategy
6 of 10 beat buy and hold (CAGR -1.6%, drawdown -94.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 1.1%, MDD -32.8%, Sharpe 0.14, 55% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 61.8%p (CAGR 0.4%, MDD -16.9%, exposure 1%).
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=43, slow=113 |
1.1% | -32.8% | 0.14 | 0.03 | 1.5x | 93 | 55% |
| ROC 모멘텀 n=122, threshold=0.29 |
0.4% | -16.9% | 0.12 | 0.02 | 1.2x | 12 | 1% |
| EMA 크로스오버 fast=78, slow=178 |
-0.3% | -49.2% | 0.05 | -0.01 | 0.9x | 46 | 58% |
| Supertrend period=23, mult=4.6 |
-0.9% | -73.4% | 0.04 | -0.01 | 0.7x | 133 | 58% |
| Donchian 채널 돌파 entryN=3, exitN=85 |
-2.5% | -88.6% | 0.02 | -0.03 | 0.4x | 175 | 95% |
| 볼린저 밴드 돌파 n=48, k=3.5 |
-0.3% | -20.9% | -0.06 | -0.01 | 0.9x | 24 | 7% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=16, mult=4 |
-1.3% | -43.7% | -0.22 | -0.03 | 0.6x | 62 | 15% |
| ADX / DI 방향성 period=24, threshold=30 |
-1.8% | -52.9% | -0.28 | -0.03 | 0.5x | 62 | 15% |
| MACD fast=23, slow=32, signal=19 |
-7.3% | -96.1% | -0.30 | -0.08 | 0.1x | 423 | 51% |
| Parabolic SAR step=0.005, maxStep=0.26 |
-7.6% | -95.4% | -0.31 | -0.08 | 0.0x | 259 | 54% |
| Buy and hold | -1.6% | -94.6% | 0.08 | -0.02 | 0.5x | 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 43-day average price crosses above the 113-day average
- Sell — Sell (to cash) when the 43-day average falls below the 113-day average