Trend-Following Backtester · Guide · backtest 한국어
equity · DE
GFT Technologies SE backtest
10 trend-following strategies were compared on the full daily history of GFT Technologies SE. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 5.3%, MDD -62.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.3%, drawdown -99.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 15.5%, MDD -80.6%, Sharpe 0.55, 54% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 15.3%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 5.3%, MDD -62.8%, exposure 23%).
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=50, slow=77 |
15.5% | -80.6% | 0.55 | 0.19 | 50.1x | 93 | 54% |
| Donchian 채널 돌파 entryN=68, exitN=62 |
14.4% | -81.6% | 0.54 | 0.18 | 38.2x | 41 | 51% |
| EMA 크로스오버 fast=55, slow=73 |
13.0% | -79.9% | 0.50 | 0.16 | 27.1x | 49 | 51% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=11, mult=3.5 |
9.2% | -66.5% | 0.44 | 0.14 | 10.8x | 68 | 27% |
| ROC 모멘텀 n=73, threshold=0.01 |
9.6% | -80.9% | 0.43 | 0.12 | 11.9x | 293 | 50% |
| 볼린저 밴드 돌파 n=59, k=2.3 |
7.4% | -66.2% | 0.38 | 0.11 | 6.9x | 91 | 31% |
| ADX / DI 방향성 period=37, threshold=15 |
5.3% | -62.8% | 0.32 | 0.08 | 4.0x | 136 | 23% |
| Supertrend period=11, mult=3.4 |
4.6% | -92.4% | 0.30 | 0.05 | 3.4x | 147 | 55% |
| MACD fast=16, slow=25, signal=9 |
1.6% | -88.7% | 0.23 | 0.02 | 1.5x | 463 | 51% |
| Parabolic SAR step=0.03, maxStep=0.34 |
0.2% | -87.0% | 0.20 | 0.00 | 1.0x | 697 | 51% |
| Buy and hold | 0.3% | -99.0% | 0.29 | 0.00 | 1.1x | 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 50-day average price crosses above the 77-day average
- Sell — Sell (to cash) when the 50-day average falls below the 77-day average