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; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 18.5%, drawdown -60.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 12.5%, MDD -45.7%, Sharpe 0.58, 68% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 12.9%, MDD -49.2%, exposure 71%.
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=9, slow=164 |
12.5% | -45.7% | 0.58 | 0.27 | 5.6x | 33 | 68% |
| EMA 크로스오버 fast=36, slow=141 |
12.9% | -49.2% | 0.58 | 0.26 | 5.9x | 21 | 71% |
| Donchian 채널 돌파 entryN=11, exitN=36 |
10.2% | -63.6% | 0.47 | 0.16 | 4.1x | 67 | 77% |
| ADX / DI 방향성 period=45, threshold=20 |
3.3% | -16.3% | 0.46 | 0.20 | 1.6x | 8 | 6% |
| Supertrend period=29, mult=3.5 |
7.8% | -55.8% | 0.42 | 0.14 | 3.0x | 81 | 60% |
| ROC 모멘텀 n=148, threshold=-0.03 |
7.8% | -51.9% | 0.41 | 0.15 | 3.0x | 79 | 69% |
| Parabolic SAR step=0.02, maxStep=0.08 |
2.1% | -71.7% | 0.21 | 0.03 | 1.3x | 269 | 57% |
| Keltner 채널 돌파 emaPeriod=75, atrPeriod=27, mult=0.7 |
0.9% | -44.3% | 0.16 | 0.02 | 1.1x | 129 | 59% |
| 볼린저 밴드 돌파 n=15, k=0.9 |
0.8% | -63.6% | 0.15 | 0.01 | 1.1x | 297 | 48% |
| MACD fast=19, slow=50, signal=7 |
-1.2% | -57.9% | 0.07 | -0.02 | 0.8x | 239 | 50% |
| Buy and hold | 18.5% | -60.8% | 0.64 | 0.30 | 11.9x | 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 9-day average price crosses above the 164-day average
- Sell — Sell (to cash) when the 9-day average falls below the 164-day average