Trend-Following Backtester · Guide · backtest 한국어
equity · US
Gartner, Inc. backtest
10 trend-following strategies were compared on the full daily history of Gartner, Inc.. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 13.0%, MDD -53.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.4%, drawdown -86.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 13.0%, MDD -53.8%, Sharpe 0.58, 65% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by 32.1%p (CAGR 13.0%, MDD -53.8%, exposure 65%).
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=52, slow=211 |
13.0% | -53.8% | 0.58 | 0.24 | 54.9x | 36 | 65% |
| EMA 크로스오버 fast=49, slow=131 |
11.5% | -66.8% | 0.53 | 0.17 | 35.2x | 50 | 67% |
| Donchian 채널 돌파 entryN=118, exitN=77 |
10.1% | -83.3% | 0.50 | 0.12 | 23.2x | 36 | 56% |
| ROC 모멘텀 n=142, threshold=-0.04 |
10.6% | -71.7% | 0.50 | 0.15 | 27.2x | 216 | 70% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=36, mult=1.2 |
6.0% | -73.8% | 0.35 | 0.08 | 6.7x | 221 | 54% |
| Parabolic SAR step=0.005, maxStep=0.24 |
6.1% | -76.1% | 0.35 | 0.08 | 7.1x | 279 | 57% |
| Supertrend period=10, mult=3.2 |
6.0% | -71.7% | 0.35 | 0.08 | 6.7x | 199 | 56% |
| ADX / DI 방향성 period=34, threshold=31 |
1.7% | -15.5% | 0.30 | 0.11 | 1.7x | 12 | 3% |
| 볼린저 밴드 돌파 n=40, k=3.3 |
2.4% | -47.8% | 0.26 | 0.05 | 2.2x | 38 | 13% |
| MACD fast=16, slow=58, signal=16 |
1.5% | -66.5% | 0.19 | 0.02 | 1.6x | 423 | 50% |
| Buy and hold | 12.4% | -86.0% | 0.49 | 0.14 | 46.7x | 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 52-day average price crosses above the 211-day average
- Sell — Sell (to cash) when the 52-day average falls below the 211-day average