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.. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 22.2%, MDD -45.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 23.0%, drawdown -69.8%).
Sharpe leader (same as main): Supertrend — CAGR 28.3%, MDD -80.6%, Sharpe 0.87, 57% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by -10.8%p (CAGR 22.2%, 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 |
28.3% | -80.6% | 0.87 | 0.35 | 33.6x | 90 | 57% |
| 볼린저 밴드 돌파 n=47, k=2.9 |
22.2% | -45.5% | 0.85 | 0.49 | 16.9x | 34 | 25% |
| ADX / DI 방향성 period=25, threshold=12 |
25.1% | -64.9% | 0.80 | 0.39 | 23.5x | 140 | 56% |
| EMA 크로스오버 fast=9, slow=350 |
25.5% | -63.1% | 0.77 | 0.40 | 24.5x | 19 | 50% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=8, mult=1.8 |
21.8% | -79.7% | 0.76 | 0.27 | 16.0x | 88 | 37% |
| Donchian 채널 돌파 entryN=53, exitN=67 |
23.4% | -63.7% | 0.74 | 0.37 | 19.3x | 24 | 59% |
| ROC 모멘텀 n=33, threshold=0.09 |
20.0% | -73.8% | 0.74 | 0.27 | 13.0x | 192 | 31% |
| SMA 크로스오버 fast=26, slow=123 |
23.2% | -60.0% | 0.74 | 0.39 | 18.8x | 34 | 55% |
| MACD fast=16, slow=59, signal=15 |
18.2% | -70.4% | 0.67 | 0.26 | 10.6x | 158 | 48% |
| Parabolic SAR step=0.045, maxStep=0.1 |
17.2% | -60.8% | 0.64 | 0.28 | 9.3x | 310 | 49% |
| Buy and hold | 23.0% | -69.8% | 0.68 | 0.33 | 18.4x | 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)