Trend-Following Backtester · Guide · backtest 한국어
equity · US
Goldman Sachs Group, Inc. (The) backtest
10 trend-following strategies were compared on the full daily history of Goldman Sachs Group, Inc. (The). 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 8.7%, MDD -52.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 10.3%, drawdown -79.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 8.7%, MDD -52.6%, Sharpe 0.47, 58% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.6%p lower than buy and hold, while drawdown improves by 26.4%p (CAGR 8.7%, MDD -52.6%, exposure 58%).
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=18, slow=51 |
8.7% | -52.6% | 0.47 | 0.17 | 9.7x | 139 | 58% |
| 볼린저 밴드 돌파 n=13, k=2.9 |
2.1% | -20.5% | 0.46 | 0.10 | 1.8x | 34 | 4% |
| EMA 크로스오버 fast=43, slow=64 |
7.8% | -62.8% | 0.45 | 0.12 | 7.8x | 69 | 59% |
| Donchian 채널 돌파 entryN=22, exitN=37 |
8.0% | -64.0% | 0.43 | 0.12 | 8.1x | 98 | 69% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=21, mult=2.8 |
5.2% | -32.0% | 0.38 | 0.16 | 4.0x | 108 | 36% |
| ROC 모멘텀 n=136, threshold=0.02 |
6.1% | -54.6% | 0.38 | 0.11 | 5.1x | 187 | 57% |
| Supertrend period=13, mult=5 |
5.6% | -48.1% | 0.36 | 0.12 | 4.5x | 87 | 53% |
| ADX / DI 방향성 period=27, threshold=35 |
0.8% | -11.9% | 0.24 | 0.06 | 1.2x | 8 | 2% |
| MACD fast=17, slow=59, signal=19 |
1.6% | -55.4% | 0.19 | 0.03 | 1.6x | 298 | 50% |
| Parabolic SAR step=0.02, maxStep=0.12 |
-3.8% | -88.0% | -0.04 | -0.04 | 0.4x | 564 | 55% |
| Buy and hold | 10.3% | -79.0% | 0.45 | 0.13 | 14.4x | 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 18-day average price crosses above the 51-day average
- Sell — Sell (to cash) when the 18-day average falls below the 51-day average