Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gates Industrial Corporation Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gates Industrial Corporation Ltd.. 5 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 4.0%, MDD -37.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 3.8%, drawdown -70.1%).
Sharpe leader (same as main): MACD — CAGR 8.7%, MDD -51.6%, Sharpe 0.44, 52% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 18.5%p (CAGR 4.0%, MDD -37.4%, exposure 56%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=18, slow=31, signal=15 |
8.7% | -51.6% | 0.44 | 0.17 | 2.1x | 104 | 52% |
| Donchian 채널 돌파 entryN=13, exitN=75 |
7.1% | -57.9% | 0.37 | 0.12 | 1.8x | 29 | 77% |
| 볼린저 밴드 돌파 n=18, k=2.7 |
3.0% | -17.5% | 0.36 | 0.17 | 1.3x | 24 | 11% |
| Parabolic SAR step=0.01, maxStep=0.24 |
4.9% | -46.0% | 0.31 | 0.11 | 1.5x | 110 | 52% |
| ROC 모멘텀 n=47, threshold=-0.12 |
4.6% | -44.7% | 0.30 | 0.10 | 1.5x | 61 | 80% |
| EMA 크로스오버 fast=6, slow=89 |
4.0% | -37.4% | 0.28 | 0.11 | 1.4x | 38 | 56% |
| Supertrend period=23, mult=2.2 |
1.5% | -61.7% | 0.19 | 0.02 | 1.1x | 92 | 53% |
| SMA 크로스오버 fast=45, slow=83 |
0.8% | -54.4% | 0.16 | 0.01 | 1.1x | 25 | 52% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=12, mult=1.7 |
-0.4% | -49.7% | 0.08 | -0.01 | 1.0x | 70 | 32% |
| ADX / DI 방향성 period=14, threshold=25 |
-3.9% | -37.4% | -0.20 | -0.10 | 0.7x | 60 | 21% |
| Buy and hold | 3.8% | -70.1% | 0.30 | 0.05 | 1.4x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (18/31) crosses above its 15-day signal line
- Sell — Sell when the MACD line crosses back below the signal line