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 23.8%, MDD -32.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 16.4%, drawdown -83.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 23.8%, MDD -32.8%, Sharpe 0.84, 28% exposure.
CAGR reference leader: MACD — CAGR 26.5%, MDD -63.4%, exposure 49%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 51.1%p (CAGR 23.8%, 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 |
23.8% | -32.8% | 0.84 | 0.73 | 30.9x | 50 | 28% |
| MACD fast=19, slow=67, signal=15 |
26.5% | -63.4% | 0.82 | 0.42 | 43.4x | 135 | 49% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=9, mult=2.2 |
20.8% | -42.0% | 0.78 | 0.50 | 20.8x | 56 | 25% |
| SMA 크로스오버 fast=13, slow=28 |
24.6% | -69.6% | 0.77 | 0.35 | 34.3x | 129 | 46% |
| Donchian 채널 돌파 entryN=47, exitN=13 |
19.7% | -45.1% | 0.74 | 0.44 | 17.8x | 56 | 27% |
| ADX / DI 방향성 period=10, threshold=21 |
19.9% | -45.3% | 0.70 | 0.44 | 18.5x | 242 | 41% |
| ROC 모멘텀 n=25, threshold=0.07 |
18.3% | -62.3% | 0.67 | 0.29 | 14.9x | 247 | 33% |
| Supertrend period=13, mult=3.6 |
20.0% | -73.2% | 0.66 | 0.27 | 18.6x | 70 | 53% |
| EMA 크로스오버 fast=43, slow=50 |
18.9% | -56.5% | 0.65 | 0.33 | 16.1x | 38 | 46% |
| Parabolic SAR step=0.015, maxStep=0.16 |
9.8% | -77.9% | 0.44 | 0.13 | 4.5x | 261 | 50% |
| Buy and hold | 16.4% | -83.9% | 0.56 | 0.20 | 11.4x | 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