Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gen Digital Inc. backtest
10 trend-following strategies were compared on the full daily history of Gen Digital Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.6%, drawdown -87.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 7.3%, MDD -85.4%, Sharpe 0.38, 58% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=37, slow=166 |
7.3% | -85.4% | 0.38 | 0.09 | 13.6x | 65 | 58% |
| Supertrend period=13, mult=4.4 |
6.2% | -82.8% | 0.35 | 0.08 | 9.5x | 147 | 53% |
| EMA 크로스오버 fast=54, slow=170 |
5.6% | -82.5% | 0.34 | 0.07 | 7.7x | 61 | 57% |
| Donchian 채널 돌파 entryN=18, exitN=65 |
4.5% | -83.1% | 0.31 | 0.05 | 5.2x | 123 | 76% |
| ADX / DI 방향성 period=18, threshold=22 |
3.7% | -76.1% | 0.28 | 0.05 | 3.9x | 254 | 26% |
| Parabolic SAR step=0.005, maxStep=0.18 |
3.0% | -92.6% | 0.26 | 0.03 | 3.0x | 299 | 53% |
| ROC 모멘텀 n=126, threshold=0.05 |
2.6% | -89.6% | 0.25 | 0.03 | 2.6x | 289 | 50% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=2.8 |
2.1% | -75.6% | 0.21 | 0.03 | 2.2x | 145 | 32% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
1.6% | -93.6% | 0.21 | 0.02 | 1.8x | 263 | 46% |
| MACD fast=17, slow=63, signal=19 |
0.6% | -85.8% | 0.19 | 0.01 | 1.3x | 383 | 51% |
| Buy and hold | 10.6% | -87.7% | 0.46 | 0.12 | 42.9x | 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 37-day average price crosses above the 166-day average
- Sell — Sell (to cash) when the 37-day average falls below the 166-day average