Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genpact Limited backtest
10 trend-following strategies were compared on the full daily history of Genpact Limited. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 4.0%, drawdown -64.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 2.2%, MDD -37.1%, Sharpe 0.23, 28% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 2.6%, MDD -40.7%, exposure 46%.
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=14, mult=3.6 |
2.2% | -37.1% | 0.23 | 0.06 | 1.5x | 40 | 28% |
| Donchian 채널 돌파 entryN=28, exitN=17 |
2.6% | -40.7% | 0.23 | 0.06 | 1.6x | 95 | 46% |
| SMA 크로스오버 fast=27, slow=92 |
2.4% | -41.8% | 0.22 | 0.06 | 1.6x | 60 | 55% |
| EMA 크로스오버 fast=34, slow=90 |
2.1% | -44.0% | 0.20 | 0.05 | 1.5x | 54 | 56% |
| ADX / DI 방향성 period=13, threshold=37 |
1.0% | -17.1% | 0.18 | 0.06 | 1.2x | 44 | 8% |
| ROC 모멘텀 n=148, threshold=0 |
1.5% | -43.7% | 0.17 | 0.03 | 1.3x | 132 | 56% |
| Supertrend period=7, mult=5 |
1.3% | -62.5% | 0.17 | 0.02 | 1.3x | 57 | 51% |
| MACD fast=10, slow=30, signal=17 |
-1.5% | -59.1% | 0.03 | -0.03 | 0.8x | 293 | 50% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-2.0% | -49.2% | 0.01 | -0.04 | 0.7x | 159 | 52% |
| 볼린저 밴드 돌파 n=44, k=2.7 |
-1.7% | -38.6% | -0.11 | -0.04 | 0.7x | 43 | 16% |
| Buy and hold | 4.0% | -64.1% | 0.28 | 0.06 | 2.1x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 75-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 75-day average