Trend-Following Backtester · Guide · backtest 한국어
equity · US
Graphic Packaging Holding Company backtest
10 trend-following strategies were compared on the full daily history of Graphic Packaging Holding Company. 5 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.6%, MDD -59.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.9%, drawdown -96.6%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.6%, MDD -59.8%, Sharpe 0.43, 55% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 5.8%p higher than buy and hold, while drawdown improves by 36.8%p (CAGR 8.6%, MDD -59.8%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=134 |
8.6% | -59.8% | 0.43 | 0.14 | 16.2x | 55 | 55% |
| EMA 크로스오버 fast=51, slow=134 |
7.2% | -62.8% | 0.38 | 0.11 | 10.3x | 50 | 57% |
| Donchian 채널 돌파 entryN=40, exitN=79 |
6.7% | -78.5% | 0.36 | 0.09 | 9.0x | 59 | 65% |
| Supertrend period=11, mult=4.7 |
4.3% | -81.7% | 0.29 | 0.05 | 4.2x | 105 | 54% |
| ROC 모멘텀 n=114, threshold=-0.01 |
4.3% | -70.0% | 0.29 | 0.06 | 4.2x | 247 | 56% |
| ADX / DI 방향성 period=11, threshold=36 |
2.4% | -46.3% | 0.22 | 0.05 | 2.2x | 158 | 12% |
| 볼린저 밴드 돌파 n=50, k=2.5 |
1.8% | -60.4% | 0.19 | 0.03 | 1.8x | 91 | 22% |
| Parabolic SAR step=0.005, maxStep=0.3 |
0.0% | -77.7% | 0.17 | 0.00 | 1.0x | 257 | 50% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=10, mult=2.3 |
-0.2% | -71.6% | 0.11 | -0.00 | 0.9x | 156 | 30% |
| MACD fast=13, slow=50, signal=13 |
-11.1% | -99.0% | -0.13 | -0.11 | 0.0x | 506 | 51% |
| Buy and hold | 2.9% | -96.6% | 0.32 | 0.03 | 2.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 134-day average
- Sell — Sell (to cash) when the 51-day average falls below the 134-day average