Trend-Following Backtester · Guide · backtest 한국어
equity · US
GPGI, Inc. backtest
10 trend-following strategies were compared on the full daily history of GPGI, Inc.. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.2%, MDD -14.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 8.5%, drawdown -59.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.2%, MDD -14.5%, Sharpe 1.09, 11% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 27.6%, MDD -29.2%, exposure 40%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 44.6%p (CAGR 15.2%, MDD -14.5%, exposure 11%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=2.8 |
15.2% | -14.5% | 1.09 | 1.04 | 2.3x | 14 | 11% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=18, mult=2.8 |
25.7% | -19.8% | 1.01 | 1.30 | 3.7x | 10 | 29% |
| ADX / DI 방향성 period=52, threshold=10 |
27.6% | -29.2% | 0.97 | 0.94 | 4.1x | 16 | 40% |
| SMA 크로스오버 fast=4, slow=137 |
26.5% | -24.5% | 0.94 | 1.08 | 3.9x | 12 | 47% |
| EMA 크로스오버 fast=6, slow=125 |
26.3% | -25.3% | 0.93 | 1.04 | 3.9x | 14 | 49% |
| ROC 모멘텀 n=106, threshold=0.03 |
22.9% | -22.9% | 0.86 | 1.00 | 3.3x | 10 | 39% |
| Donchian 채널 돌파 entryN=49, exitN=63 |
19.4% | -36.6% | 0.73 | 0.53 | 2.8x | 8 | 52% |
| Supertrend period=10, mult=3.2 |
13.6% | -31.5% | 0.57 | 0.43 | 2.1x | 26 | 42% |
| MACD fast=19, slow=23, signal=13 |
-5.9% | -60.6% | -0.03 | -0.10 | 0.7x | 86 | 45% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-10.6% | -68.5% | -0.14 | -0.15 | 0.5x | 147 | 49% |
| Buy and hold | 8.5% | -59.1% | 0.41 | 0.14 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 16-day middle average