Trend-Following Backtester · Guide · backtest 한국어
equity · US
Granite Construction Incorporated backtest
10 trend-following strategies were compared on the full daily history of Granite Construction Incorporated. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 9.0%, drawdown -86.2%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.0%, MDD -72.5%, Sharpe 0.32, 56% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=42, slow=216 |
5.0% | -72.5% | 0.32 | 0.07 | 5.9x | 53 | 56% |
| Donchian 채널 돌파 entryN=51, exitN=65 |
2.8% | -88.0% | 0.24 | 0.03 | 2.7x | 78 | 59% |
| EMA 크로스오버 fast=55, slow=180 |
2.6% | -78.7% | 0.23 | 0.03 | 2.5x | 67 | 59% |
| ADX / DI 방향성 period=42, threshold=25 |
1.4% | -24.5% | 0.20 | 0.06 | 1.7x | 24 | 6% |
| Supertrend period=28, mult=4.9 |
-0.0% | -90.4% | 0.14 | -0.00 | 1.0x | 126 | 54% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
0.4% | -68.1% | 0.11 | 0.01 | 1.2x | 94 | 21% |
| ROC 모멘텀 n=86, threshold=-0.04 |
-1.8% | -91.4% | 0.09 | -0.02 | 0.5x | 421 | 65% |
| MACD fast=14, slow=37, signal=14 |
-3.9% | -94.3% | 0.00 | -0.04 | 0.2x | 504 | 50% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=13, mult=2.4 |
-3.9% | -94.3% | -0.07 | -0.04 | 0.2x | 180 | 33% |
| Parabolic SAR step=0.02, maxStep=0.34 |
-6.7% | -97.6% | -0.09 | -0.07 | 0.1x | 754 | 52% |
| Buy and hold | 9.0% | -86.2% | 0.42 | 0.10 | 22.6x | 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 42-day average price crosses above the 216-day average
- Sell — Sell (to cash) when the 42-day average falls below the 216-day average