Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Gan & Lee Pharmaceuticals Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Gan & Lee Pharmaceuticals Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Parabolic SAR ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 5.0%, MDD -16.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 0.8%, drawdown -84.8%).
Sharpe leader (same as main): Parabolic SAR — CAGR 16.4%, MDD -45.4%, Sharpe 0.66, 46% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.6%p higher than buy and hold, while drawdown improves by 39.5%p (CAGR 5.0%, MDD -16.9%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Parabolic SAR step=0.01, maxStep=0.38 |
16.4% | -45.4% | 0.66 | 0.36 | 2.6x | 70 | 46% |
| 볼린저 밴드 돌파 n=15, k=2.7 |
5.0% | -16.9% | 0.42 | 0.30 | 1.4x | 16 | 9% |
| Supertrend period=29, mult=2.9 |
7.6% | -43.1% | 0.41 | 0.18 | 1.6x | 32 | 42% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=16, mult=2.6 |
5.0% | -23.9% | 0.35 | 0.21 | 1.4x | 16 | 19% |
| ROC 모멘텀 n=147, threshold=-0.02 |
4.8% | -43.7% | 0.31 | 0.11 | 1.3x | 39 | 45% |
| MACD fast=14, slow=23, signal=16 |
4.9% | -53.3% | 0.31 | 0.09 | 1.3x | 78 | 49% |
| Donchian 채널 돌파 entryN=63, exitN=14 |
4.1% | -30.1% | 0.30 | 0.14 | 1.3x | 16 | 21% |
| SMA 크로스오버 fast=63, slow=96 |
4.3% | -44.5% | 0.30 | 0.10 | 1.3x | 17 | 41% |
| ADX / DI 방향성 period=33, threshold=22 |
1.8% | -29.3% | 0.21 | 0.06 | 1.1x | 8 | 10% |
| EMA 크로스오버 fast=31, slow=53 |
-0.8% | -47.9% | 0.10 | -0.02 | 1.0x | 21 | 42% |
| Buy and hold | 0.8% | -84.8% | 0.23 | 0.01 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades around the Parabolic SAR dots that accelerate toward price.
- Buy — Buy when price rises above the SAR dots
- Sell — Sell when price falls below the SAR dots