Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ganfeng Lithium Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ganfeng Lithium Group Co., Ltd. Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 24.0%, MDD -32.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.9%, drawdown -83.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 24.0%, MDD -32.8%, Sharpe 0.84, 28% exposure.
CAGR reference leader: MACD — CAGR 26.4%, MDD -63.4%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 51.1%p (CAGR 24.0%, MDD -32.8%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=44, k=2.2 |
24.0% | -32.8% | 0.84 | 0.73 | 30.9x | 50 | 28% |
| MACD fast=19, slow=67, signal=15 |
26.4% | -63.4% | 0.82 | 0.42 | 42.2x | 134 | 49% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=9, mult=2.2 |
20.9% | -42.0% | 0.78 | 0.50 | 20.8x | 56 | 26% |
| SMA 크로스오버 fast=13, slow=28 |
24.7% | -69.6% | 0.78 | 0.36 | 34.0x | 128 | 46% |
| Donchian 채널 돌파 entryN=47, exitN=13 |
19.8% | -45.1% | 0.74 | 0.44 | 17.8x | 56 | 27% |
| ADX / DI 방향성 period=10, threshold=21 |
20.6% | -45.3% | 0.71 | 0.45 | 20.0x | 238 | 41% |
| ROC 모멘텀 n=25, threshold=0.07 |
18.7% | -62.3% | 0.68 | 0.30 | 15.4x | 244 | 33% |
| Supertrend period=13, mult=3.6 |
20.1% | -73.2% | 0.67 | 0.27 | 18.6x | 70 | 53% |
| EMA 크로스오버 fast=43, slow=50 |
19.0% | -56.5% | 0.65 | 0.34 | 16.1x | 38 | 46% |
| Parabolic SAR step=0.015, maxStep=0.16 |
9.6% | -77.9% | 0.44 | 0.12 | 4.3x | 258 | 50% |
| Buy and hold | 15.9% | -83.9% | 0.55 | 0.19 | 10.5x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 44-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 44-day middle average