Trend-Following Backtester · Guide · backtest 한국어
equity · GB
GSK plc backtest
10 trend-following strategies were compared on the full daily history of GSK plc. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 5.5%, drawdown -56.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 2.1%, MDD -71.3%, Sharpe 0.20, 59% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=65, slow=156 |
2.1% | -71.3% | 0.20 | 0.03 | 2.2x | 60 | 59% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=10, mult=4 |
1.2% | -48.7% | 0.16 | 0.02 | 1.6x | 74 | 18% |
| EMA 크로스오버 fast=48, slow=212 |
0.8% | -77.5% | 0.13 | 0.01 | 1.3x | 63 | 59% |
| ADX / DI 방향성 period=45, threshold=15 |
0.7% | -48.7% | 0.12 | 0.01 | 1.3x | 76 | 18% |
| Donchian 채널 돌파 entryN=106, exitN=74 |
0.4% | -71.8% | 0.10 | 0.01 | 1.2x | 57 | 51% |
| ROC 모멘텀 n=99, threshold=-0.02 |
-2.0% | -92.2% | -0.02 | -0.02 | 0.5x | 374 | 64% |
| 볼린저 밴드 돌파 n=30, k=3.2 |
-0.6% | -39.1% | -0.06 | -0.02 | 0.8x | 46 | 6% |
| Parabolic SAR step=0.005, maxStep=0.04 |
-3.4% | -91.5% | -0.11 | -0.04 | 0.3x | 305 | 55% |
| Supertrend period=24, mult=4.9 |
-3.8% | -89.6% | -0.13 | -0.04 | 0.2x | 174 | 58% |
| MACD fast=13, slow=37, signal=16 |
-4.3% | -91.8% | -0.17 | -0.05 | 0.2x | 539 | 51% |
| Buy and hold | 5.5% | -56.9% | 0.34 | 0.10 | 7.7x | 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 65-day average price crosses above the 156-day average
- Sell — Sell (to cash) when the 65-day average falls below the 156-day average