Trend-Following Backtester · Guide · backtest 한국어
equity · TW
GCS Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of GCS Holdings, Inc.. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.1%, MDD -45.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 26.5%, drawdown -69.8%).
Sharpe leader (same as main): Supertrend — CAGR 29.3%, MDD -80.6%, Sharpe 0.88, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by -10.8%p (CAGR 22.1%, MDD -45.5%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3 |
29.3% | -80.6% | 0.88 | 0.36 | 38.4x | 91 | 57% |
| 볼린저 밴드 돌파 n=47, k=2.9 |
22.1% | -45.5% | 0.84 | 0.49 | 16.9x | 34 | 25% |
| EMA 크로스오버 fast=9, slow=350 |
29.1% | -63.1% | 0.84 | 0.46 | 37.4x | 19 | 50% |
| ADX / DI 방향성 period=25, threshold=12 |
24.9% | -64.9% | 0.79 | 0.38 | 23.4x | 141 | 55% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=1.8 |
21.6% | -79.7% | 0.76 | 0.27 | 16.0x | 88 | 37% |
| Donchian 채널 돌파 entryN=53, exitN=67 |
23.2% | -63.7% | 0.74 | 0.36 | 19.3x | 24 | 59% |
| ROC 모멘텀 n=33, threshold=0.09 |
19.8% | -73.8% | 0.73 | 0.27 | 13.0x | 193 | 31% |
| SMA 크로스오버 fast=26, slow=123 |
23.0% | -60.0% | 0.73 | 0.38 | 18.8x | 34 | 55% |
| MACD fast=16, slow=59, signal=15 |
19.7% | -70.4% | 0.70 | 0.28 | 12.8x | 159 | 49% |
| Parabolic SAR step=0.045, maxStep=0.1 |
17.1% | -60.8% | 0.63 | 0.28 | 9.4x | 313 | 49% |
| Buy and hold | 26.5% | -69.8% | 0.74 | 0.38 | 28.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)