Trend-Following Backtester · Guide · backtest 한국어
equity · CN
GalaxyCore Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of GalaxyCore Inc. Class A. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.9%, MDD -9.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -16.6%, drawdown -73.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.2%, MDD -21.3%, Sharpe 0.57, 5% exposure.
CAGR reference leader: Supertrend — CAGR 11.8%, MDD -27.5%, exposure 39%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 26.8%p higher than buy and hold, while drawdown improves by 52.2%p (CAGR 0.9%, MDD -9.0%, exposure 3%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=28, mult=2.8 |
10.2% | -21.3% | 0.57 | 0.48 | 1.6x | 6 | 5% |
| Supertrend period=16, mult=1.8 |
11.8% | -27.5% | 0.52 | 0.43 | 1.8x | 54 | 39% |
| ROC 모멘텀 n=5, threshold=0.12 |
7.9% | -19.9% | 0.49 | 0.40 | 1.5x | 24 | 2% |
| Donchian 채널 돌파 entryN=92, exitN=1 |
6.7% | -16.4% | 0.47 | 0.41 | 1.4x | 14 | 3% |
| Parabolic SAR step=0.015, maxStep=0.14 |
9.4% | -31.0% | 0.44 | 0.30 | 1.6x | 86 | 43% |
| 볼린저 밴드 돌파 n=17, k=2.9 |
6.3% | -24.5% | 0.38 | 0.25 | 1.4x | 8 | 5% |
| MACD fast=10, slow=56, signal=5 |
4.8% | -51.9% | 0.31 | 0.09 | 1.3x | 92 | 49% |
| ADX / DI 방향성 period=22, threshold=39 |
0.9% | -9.0% | 0.21 | 0.10 | 1.0x | 2 | 3% |
| SMA 크로스오버 fast=7, slow=32 |
-3.1% | -44.2% | 0.07 | -0.07 | 0.9x | 44 | 39% |
| EMA 크로스오버 fast=10, slow=28 |
-5.3% | -44.2% | -0.01 | -0.12 | 0.8x | 36 | 37% |
| Buy and hold | -16.6% | -73.4% | -0.19 | -0.23 | 0.4x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 11-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average