Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Gildan Activewear Inc. backtest
10 trend-following strategies were compared on the full daily history of Gildan Activewear 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 18.7%, MDD -43.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 18.9%, drawdown -82.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 18.7%, MDD -43.5%, Sharpe 0.80, 66% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p lower than buy and hold, while drawdown improves by 39.3%p (CAGR 18.7%, MDD -43.5%, exposure 66%).
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=31, slow=137 |
18.7% | -43.5% | 0.80 | 0.43 | 124.2x | 52 | 66% |
| EMA 크로스오버 fast=31, slow=86 |
17.6% | -50.9% | 0.76 | 0.35 | 94.9x | 56 | 68% |
| Donchian 채널 돌파 entryN=50, exitN=49 |
15.6% | -46.4% | 0.70 | 0.33 | 58.0x | 60 | 62% |
| Supertrend period=14, mult=4.9 |
15.2% | -49.9% | 0.67 | 0.30 | 53.0x | 96 | 63% |
| ROC 모멘텀 n=98, threshold=-0.02 |
13.7% | -53.2% | 0.61 | 0.26 | 37.1x | 214 | 70% |
| 볼린저 밴드 돌파 n=77, k=1.3 |
10.2% | -43.2% | 0.54 | 0.24 | 15.3x | 114 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=25, mult=1.7 |
9.2% | -43.0% | 0.50 | 0.21 | 12.0x | 166 | 53% |
| ADX / DI 방향성 period=37, threshold=26 |
4.6% | -27.6% | 0.50 | 0.17 | 3.5x | 18 | 9% |
| Parabolic SAR step=0.01, maxStep=0.12 |
7.3% | -53.0% | 0.40 | 0.14 | 7.2x | 370 | 55% |
| MACD fast=17, slow=59, signal=19 |
0.6% | -74.9% | 0.15 | 0.01 | 1.2x | 312 | 51% |
| Buy and hold | 18.9% | -82.8% | 0.65 | 0.23 | 129.4x | 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 31-day average price crosses above the 137-day average
- Sell — Sell (to cash) when the 31-day average falls below the 137-day average