Trend-Following Backtester · Guide · backtest 한국어
equity · US
Genuine Parts Company backtest
10 trend-following strategies were compared on the full daily history of Genuine Parts Company. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -56.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.0%, MDD -62.2%, Sharpe 0.37, 93% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=231 |
6.0% | -62.2% | 0.37 | 0.10 | 14.7x | 41 | 93% |
| ROC 모멘텀 Hold-like · Exposure 98% n=19, threshold=-0.12 |
5.8% | -57.6% | 0.36 | 0.10 | 13.6x | 111 | 98% |
| EMA 크로스오버 fast=75, slow=212 |
3.8% | -45.5% | 0.30 | 0.08 | 5.8x | 48 | 71% |
| SMA 크로스오버 fast=56, slow=198 |
3.3% | -41.0% | 0.27 | 0.08 | 4.4x | 68 | 63% |
| 볼린저 밴드 돌파 n=52, k=3.3 |
-0.1% | -34.5% | 0.02 | -0.00 | 1.0x | 49 | 10% |
| ADX / DI 방향성 period=34, threshold=36 |
-0.1% | -4.0% | -0.07 | -0.01 | 1.0x | 2 | 0% |
| Supertrend period=23, mult=2.9 |
-3.3% | -86.3% | -0.10 | -0.04 | 0.2x | 365 | 56% |
| Parabolic SAR step=0.01, maxStep=0.38 |
-3.2% | -86.9% | -0.10 | -0.04 | 0.2x | 621 | 54% |
| MACD fast=19, slow=33, signal=19 |
-3.6% | -89.2% | -0.14 | -0.04 | 0.2x | 565 | 51% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=24, mult=3.1 |
-2.7% | -75.7% | -0.20 | -0.04 | 0.3x | 169 | 24% |
| Buy and hold | 7.6% | -56.3% | 0.42 | 0.13 | 29.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 231 days