Trend-Following Backtester · Guide · backtest 한국어
equity · US
GE Aerospace backtest
10 trend-following strategies were compared on the full daily history of GE Aerospace. 1 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.0%, MDD -48.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 8.2%, drawdown -90.5%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 8.4%, MDD -51.8%, Sharpe 0.52, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 8.0%, MDD -48.4%, exposure 65%).
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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=24, slow=156 |
8.4% | -51.8% | 0.52 | 0.16 | 98.5x | 101 | 65% |
| SMA 크로스오버 fast=11, slow=241 |
8.0% | -48.4% | 0.50 | 0.17 | 78.6x | 109 | 65% |
| Donchian 채널 돌파 entryN=83, exitN=98 |
7.4% | -58.8% | 0.47 | 0.13 | 58.0x | 75 | 67% |
| ROC 모멘텀 n=131, threshold=-0.01 |
6.0% | -65.2% | 0.40 | 0.09 | 26.5x | 439 | 66% |
| ADX / DI 방향성 period=34, threshold=26 |
2.1% | -24.1% | 0.37 | 0.09 | 3.3x | 20 | 5% |
| Supertrend period=37, mult=4.9 |
5.1% | -70.3% | 0.36 | 0.07 | 16.3x | 179 | 60% |
| Keltner 채널 돌파 emaPeriod=156, atrPeriod=18, mult=2.6 |
4.6% | -59.1% | 0.35 | 0.08 | 12.9x | 173 | 53% |
| 볼린저 밴드 돌파 n=58, k=2 |
1.9% | -68.9% | 0.20 | 0.03 | 2.9x | 240 | 40% |
| Parabolic SAR step=0.005, maxStep=0.34 |
0.9% | -78.6% | 0.14 | 0.01 | 1.6x | 512 | 55% |
| MACD fast=18, slow=48, signal=17 |
-2.1% | -88.9% | -0.02 | -0.02 | 0.3x | 672 | 49% |
| Buy and hold | 8.2% | -90.5% | 0.42 | 0.09 | 87.3x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 24-day EMA crosses above the 156-day EMA
- Sell — Sell when the 24-day EMA falls below the 156-day EMA