Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gap, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Gap, Inc. (The). 1 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.0%, MDD -63.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.5%, drawdown -89.6%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.0%, MDD -63.3%, Sharpe 0.67, 25% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 15.7%, MDD -75.5%, exposure 58%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 2.5%p lower than buy and hold, while drawdown improves by 26.3%p (CAGR 12.0%, MDD -63.3%, 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=33, threshold=18 |
12.0% | -63.3% | 0.67 | 0.19 | 191.0x | 154 | 25% |
| Donchian 채널 돌파 entryN=89, exitN=88 |
15.7% | -75.5% | 0.63 | 0.21 | 881.1x | 54 | 58% |
| 볼린저 밴드 돌파 n=56, k=2.7 |
11.4% | -65.6% | 0.62 | 0.17 | 149.5x | 98 | 25% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=9, mult=3.6 |
11.8% | -65.5% | 0.61 | 0.18 | 176.9x | 132 | 32% |
| Supertrend period=11, mult=3.5 |
14.0% | -76.7% | 0.58 | 0.18 | 442.7x | 272 | 54% |
| SMA 크로스오버 fast=50, slow=167 |
13.5% | -80.7% | 0.56 | 0.17 | 355.1x | 74 | 58% |
| EMA 크로스오버 fast=31, slow=74 |
12.4% | -89.2% | 0.54 | 0.14 | 225.7x | 142 | 57% |
| ROC 모멘텀 n=81, threshold=0.09 |
10.3% | -88.1% | 0.49 | 0.12 | 95.7x | 472 | 43% |
| MACD fast=17, slow=53, signal=18 |
7.2% | -77.2% | 0.38 | 0.09 | 24.7x | 487 | 51% |
| Parabolic SAR step=0.015, maxStep=0.22 |
5.6% | -96.0% | 0.33 | 0.06 | 12.7x | 796 | 53% |
| Buy and hold | 14.5% | -89.6% | 0.53 | 0.16 | 539.8x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 33-day) is ≥ 18
- Sell — Sell when direction flips or the trend weakens (ADX < 18)