Trend-Following Backtester · Guide · backtest 한국어
equity · US
GCM Grosvenor Inc. backtest
10 trend-following strategies were compared on the full daily history of GCM Grosvenor Inc.. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 3.8%, MDD -22.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.6%, drawdown -54.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 3.8%, MDD -22.0%, Sharpe 0.33, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 4.0%, MDD -32.4%, exposure 57%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p lower than buy and hold, while drawdown improves by 32.1%p (CAGR 3.8%, MDD -22.0%, exposure 27%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=144, threshold=0.12 |
3.8% | -22.0% | 0.33 | 0.17 | 1.3x | 27 | 27% |
| ADX / DI 방향성 period=33, threshold=16 |
3.2% | -18.5% | 0.32 | 0.17 | 1.3x | 27 | 21% |
| SMA 크로스오버 fast=55, slow=124 |
4.0% | -32.4% | 0.31 | 0.12 | 1.3x | 15 | 57% |
| Donchian 채널 돌파 entryN=96, exitN=21 |
2.9% | -34.4% | 0.27 | 0.08 | 1.2x | 15 | 36% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.2% | -30.6% | 0.27 | 0.11 | 1.3x | 95 | 56% |
| EMA 크로스오버 fast=43, slow=80 |
1.6% | -42.7% | 0.18 | 0.04 | 1.1x | 15 | 57% |
| MACD fast=10, slow=25, signal=13 |
1.6% | -28.5% | 0.18 | 0.06 | 1.1x | 126 | 50% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
0.9% | -26.9% | 0.14 | 0.03 | 1.1x | 23 | 36% |
| Supertrend period=23, mult=1.9 |
0.8% | -33.0% | 0.13 | 0.03 | 1.1x | 88 | 53% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=31, mult=1.9 |
-0.9% | -32.7% | 0.01 | -0.03 | 0.9x | 37 | 42% |
| Buy and hold | 4.6% | -54.2% | 0.30 | 0.09 | 1.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 144-day return is greater than 12%
- Sell — Sell when the 144-day return drops to 12% or below