Trend-Following Backtester · Guide · backtest 한국어
equity · US
Griffon Corporation backtest
10 trend-following strategies were compared on the full daily history of Griffon Corporation. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 3.0%, drawdown -96.8%).
Sharpe leader (same as main): Supertrend — CAGR -0.1%, MDD -92.6%, Sharpe 0.23, 52% exposure.
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=3.7 |
-0.1% | -92.6% | 0.23 | -0.00 | 0.9x | 209 | 52% |
| SMA 크로스오버 fast=47, slow=112 |
-0.9% | -90.7% | 0.22 | -0.01 | 0.6x | 135 | 54% |
| ADX / DI 방향성 period=35, threshold=18 |
-1.0% | -96.0% | 0.22 | -0.01 | 0.6x | 184 | 26% |
| Donchian 채널 돌파 entryN=49, exitN=129 |
-5.8% | -99.9% | 0.17 | -0.06 | 0.0x | 111 | 73% |
| EMA 크로스오버 fast=57, slow=128 |
-2.3% | -90.1% | 0.16 | -0.03 | 0.3x | 107 | 53% |
| MACD fast=48, slow=76, signal=31 |
-8.4% | -99.7% | 0.10 | -0.08 | 0.0x | 311 | 51% |
| 볼린저 밴드 돌파 n=16, k=3.3 |
-0.3% | -69.4% | 0.05 | -0.00 | 0.9x | 38 | 2% |
| Parabolic SAR step=0.015, maxStep=0.34 |
-9.9% | -99.9% | 0.00 | -0.10 | 0.0x | 790 | 48% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=24, mult=3.6 |
-2.7% | -83.3% | -0.03 | -0.03 | 0.2x | 95 | 11% |
| ROC 모멘텀 n=136, threshold=-0.03 |
-22.7% | -100.0% | -0.28 | -0.23 | 0.0x | 741 | 59% |
| Buy and hold | 3.0% | -96.8% | 0.41 | 0.03 | 4.7x | 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) — 23-day volatility, 3.7× band
- Sell — Sell when price drops below the trend line (flips down)