Trend-Following Backtester · Guide · backtest 한국어
equity · US
Greenbrier Companies, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Greenbrier Companies, Inc. (The). 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.6%, MDD -62.8%).
Results by strategy
7 of 10 beat buy and hold (CAGR 3.9%, drawdown -95.8%).
Sharpe leader (same as main): Supertrend — CAGR 7.6%, MDD -62.8%, Sharpe 0.39, 49% exposure.
Return/drawdown alternative: Supertrend — CAGR is 3.7%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 7.6%, MDD -62.8%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=28, mult=4.3 |
7.6% | -62.8% | 0.39 | 0.12 | 10.5x | 140 | 49% |
| ROC 모멘텀 n=85, threshold=-0.09 |
7.0% | -76.3% | 0.37 | 0.09 | 8.7x | 267 | 67% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=26, mult=1.9 |
6.3% | -74.1% | 0.36 | 0.09 | 7.2x | 172 | 37% |
| EMA 크로스오버 fast=40, slow=204 |
5.8% | -72.4% | 0.34 | 0.08 | 6.1x | 44 | 51% |
| SMA 크로스오버 fast=40, slow=93 |
5.3% | -75.3% | 0.32 | 0.07 | 5.2x | 82 | 50% |
| Donchian 채널 돌파 entryN=45, exitN=64 |
4.4% | -65.4% | 0.30 | 0.07 | 3.9x | 73 | 60% |
| 볼린저 밴드 돌파 n=56, k=1.6 |
4.1% | -73.3% | 0.28 | 0.06 | 3.6x | 143 | 36% |
| Parabolic SAR step=0.01, maxStep=0.3 |
1.4% | -86.1% | 0.21 | 0.02 | 1.6x | 405 | 50% |
| ADX / DI 방향성 period=32, threshold=29 |
0.9% | -31.4% | 0.15 | 0.03 | 1.3x | 26 | 4% |
| MACD fast=13, slow=34, signal=7 |
-2.3% | -88.2% | 0.11 | -0.03 | 0.5x | 615 | 52% |
| Buy and hold | 3.9% | -95.8% | 0.33 | 0.04 | 3.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 28-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)