Trend-Following Backtester · Guide · backtest 한국어
equity · CA
GFL Environmental Inc backtest
10 trend-following strategies were compared on the full daily history of GFL Environmental Inc. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 16.3%, MDD -25.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 15.9%, drawdown -39.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 16.3%, MDD -25.6%, Sharpe 0.80, 58% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.2%, MDD -37.4%, exposure 74%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 13.8%p (CAGR 16.3%, MDD -25.6%, exposure 58%).
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=56, slow=130 |
16.3% | -25.6% | 0.80 | 0.64 | 2.6x | 8 | 58% |
| Donchian 채널 돌파 entryN=27, exitN=62 |
17.2% | -37.4% | 0.75 | 0.46 | 2.8x | 11 | 74% |
| ROC 모멘텀 n=126, threshold=-0.03 |
13.6% | -32.4% | 0.68 | 0.42 | 2.3x | 29 | 63% |
| EMA 크로스오버 fast=27, slow=127 |
12.5% | -28.0% | 0.67 | 0.45 | 2.1x | 10 | 58% |
| Supertrend period=24, mult=4 |
13.1% | -34.9% | 0.63 | 0.37 | 2.2x | 23 | 61% |
| 볼린저 밴드 돌파 n=33, k=2.2 |
5.8% | -20.3% | 0.42 | 0.28 | 1.4x | 33 | 35% |
| ADX / DI 방향성 period=29, threshold=11 |
6.3% | -30.3% | 0.39 | 0.21 | 1.5x | 69 | 53% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=29, mult=1.7 |
3.6% | -40.4% | 0.28 | 0.09 | 1.3x | 33 | 46% |
| MACD fast=18, slow=41, signal=16 |
-2.2% | -45.2% | -0.01 | -0.05 | 0.9x | 79 | 49% |
| Parabolic SAR step=0.02, maxStep=0.24 |
-5.4% | -58.5% | -0.14 | -0.09 | 0.7x | 147 | 55% |
| Buy and hold | 15.9% | -39.3% | 0.62 | 0.40 | 2.6x | 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 56-day average price crosses above the 130-day average
- Sell — Sell (to cash) when the 56-day average falls below the 130-day average