Trend-Following Backtester · Guide · backtest 한국어
equity · US
Garrett Motion Inc. backtest
10 trend-following strategies were compared on the full daily history of Garrett Motion Inc.. 8 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 23.9%, MDD -40.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.3%, drawdown -93.1%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.9%, MDD -40.8%, Sharpe 0.82, 53% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 17.7%p higher than buy and hold, while drawdown improves by 52.3%p (CAGR 23.9%, MDD -40.8%, exposure 53%).
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=36, slow=212 |
23.9% | -40.8% | 0.82 | 0.59 | 5.4x | 11 | 53% |
| Parabolic SAR step=0.01, maxStep=0.1 |
21.4% | -51.7% | 0.67 | 0.41 | 4.6x | 96 | 46% |
| 볼린저 밴드 돌파 n=13, k=1.8 |
12.7% | -51.0% | 0.55 | 0.25 | 2.6x | 102 | 29% |
| Donchian 채널 돌파 entryN=11, exitN=16 |
14.7% | -59.9% | 0.54 | 0.25 | 2.9x | 52 | 59% |
| MACD fast=18, slow=52, signal=4 |
13.4% | -63.8% | 0.51 | 0.21 | 2.7x | 150 | 46% |
| Supertrend period=10, mult=3 |
11.5% | -51.6% | 0.47 | 0.22 | 2.4x | 48 | 50% |
| EMA 크로스오버 fast=58, slow=191 |
9.3% | -59.4% | 0.43 | 0.16 | 2.0x | 15 | 58% |
| ROC 모멘텀 n=183, threshold=0.02 |
8.3% | -59.2% | 0.40 | 0.14 | 1.9x | 77 | 52% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=21, mult=3.2 |
3.2% | -41.2% | 0.25 | 0.08 | 1.3x | 24 | 24% |
| ADX / DI 방향성 period=16, threshold=30 |
2.1% | -40.7% | 0.20 | 0.05 | 1.2x | 28 | 15% |
| Buy and hold | 6.3% | -93.1% | 0.41 | 0.07 | 1.6x | 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 36-day average price crosses above the 212-day average
- Sell — Sell (to cash) when the 36-day average falls below the 212-day average