Trend-Following Backtester · Guide · backtest 한국어
equity · US
Galectin Therapeutics Inc. backtest
10 trend-following strategies were compared on the full daily history of Galectin Therapeutics Inc.. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester.
Results by strategy
10 of 10 beat buy and hold (CAGR -5.7%, drawdown -99.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.3%, MDD -86.4%, Sharpe 0.47, 23% 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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=8, threshold=34 |
12.3% | -86.4% | 0.47 | 0.14 | 16.1x | 286 | 23% |
| Parabolic SAR step=0.015, maxStep=0.1 |
4.2% | -95.2% | 0.41 | 0.04 | 2.7x | 328 | 41% |
| Donchian 채널 돌파 entryN=13, exitN=67 |
-3.1% | -98.1% | 0.37 | -0.03 | 0.5x | 77 | 75% |
| 볼린저 밴드 돌파 n=42, k=2.6 |
5.9% | -85.8% | 0.36 | 0.07 | 4.0x | 82 | 22% |
| MACD fast=16, slow=26, signal=14 |
-0.9% | -95.1% | 0.35 | -0.01 | 0.8x | 336 | 50% |
| ROC 모멘텀 n=32, threshold=0.09 |
2.6% | -86.4% | 0.34 | 0.03 | 1.9x | 377 | 31% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=14, mult=1.3 |
1.4% | -91.2% | 0.32 | 0.02 | 1.4x | 204 | 24% |
| Supertrend period=11, mult=4.7 |
-4.4% | -97.7% | 0.31 | -0.04 | 0.3x | 69 | 55% |
| SMA 크로스오버 fast=31, slow=219 |
-5.4% | -95.0% | 0.21 | -0.06 | 0.3x | 41 | 44% |
| EMA 크로스오버 fast=61, slow=184 |
-5.2% | -96.1% | 0.20 | -0.05 | 0.3x | 33 | 42% |
| Buy and hold | -5.7% | -99.0% | 0.44 | -0.06 | 0.2x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 8-day) is ≥ 34
- Sell — Sell when direction flips or the trend weakens (ADX < 34)