Trend-Following Backtester · Guide · backtest 한국어
equity · US
Guidewire Software, Inc. backtest
10 trend-following strategies were compared on the full daily history of Guidewire Software, Inc.. 0 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 16.2%, drawdown -60.8%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.8%, MDD -49.2%, Sharpe 0.54, 71% 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 |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=36, slow=141 |
11.8% | -49.2% | 0.54 | 0.24 | 5.1x | 20 | 71% |
| SMA 크로스오버 fast=9, slow=164 |
10.8% | -45.7% | 0.52 | 0.24 | 4.4x | 32 | 67% |
| ADX / DI 방향성 period=45, threshold=20 |
3.4% | -16.3% | 0.46 | 0.21 | 1.6x | 8 | 6% |
| Donchian 채널 돌파 entryN=11, exitN=36 |
8.0% | -63.6% | 0.41 | 0.13 | 3.1x | 67 | 76% |
| ROC 모멘텀 n=148, threshold=-0.03 |
7.4% | -51.9% | 0.40 | 0.14 | 2.8x | 76 | 69% |
| Supertrend period=29, mult=3.5 |
5.6% | -55.8% | 0.34 | 0.10 | 2.2x | 81 | 60% |
| Parabolic SAR step=0.02, maxStep=0.08 |
-0.0% | -71.7% | 0.13 | -0.00 | 1.0x | 269 | 57% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=27, mult=0.7 |
-1.1% | -44.3% | 0.07 | -0.03 | 0.9x | 129 | 59% |
| 볼린저 밴드 돌파 n=15, k=0.9 |
-1.3% | -63.6% | 0.06 | -0.02 | 0.8x | 297 | 48% |
| MACD fast=19, slow=50, signal=7 |
-3.2% | -57.9% | -0.01 | -0.06 | 0.6x | 239 | 50% |
| Buy and hold | 16.2% | -60.8% | 0.59 | 0.27 | 8.8x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 36-day EMA crosses above the 141-day EMA
- Sell — Sell when the 36-day EMA falls below the 141-day EMA