Trend-Following Backtester · Guide · backtest 한국어
equity · US
Garmin Ltd. backtest
10 trend-following strategies were compared on the full daily history of Garmin Ltd.. 4 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 15.9%, MDD -38.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.1%, drawdown -87.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.1%, MDD -44.7%, Sharpe 0.72, 67% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 3.0%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 15.9%, MDD -38.9%, exposure 67%).
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=59, exitN=73 |
17.1% | -44.7% | 0.72 | 0.38 | 57.4x | 37 | 67% |
| SMA 크로스오버 fast=43, slow=192 |
16.4% | -52.1% | 0.69 | 0.32 | 49.3x | 27 | 65% |
| EMA 크로스오버 fast=19, slow=142 |
15.9% | -38.9% | 0.67 | 0.41 | 43.7x | 45 | 67% |
| ROC 모멘텀 n=78, threshold=-0.07 |
15.1% | -62.5% | 0.63 | 0.24 | 37.1x | 181 | 73% |
| 볼린저 밴드 돌파 n=86, k=1.2 |
10.8% | -41.5% | 0.56 | 0.26 | 14.0x | 99 | 49% |
| Supertrend period=12, mult=5 |
10.4% | -42.3% | 0.51 | 0.25 | 12.8x | 79 | 58% |
| MACD fast=40, slow=59, signal=28 |
9.1% | -73.1% | 0.46 | 0.12 | 9.3x | 157 | 52% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=11, mult=1.9 |
5.6% | -43.1% | 0.36 | 0.13 | 4.0x | 151 | 44% |
| ADX / DI 방향성 period=17, threshold=35 |
2.9% | -33.5% | 0.33 | 0.09 | 2.1x | 66 | 11% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-3.7% | -89.6% | 0.00 | -0.04 | 0.4x | 451 | 55% |
| Buy and hold | 14.1% | -87.7% | 0.54 | 0.16 | 29.2x | 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 59 days
- Sell — Sell when price breaks below the lowest low of the last 73 days