Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Gland Pharma Ltd. backtest
10 trend-following strategies were compared on the full daily history of Gland Pharma Ltd.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 8.7%, MDD -21.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.2%, drawdown -79.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 23.0%, MDD -21.9%, Sharpe 1.04, 31% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 14.8%p higher than buy and hold, while drawdown improves by 57.4%p (CAGR 8.7%, MDD -21.3%, exposure 21%).
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=48, atrPeriod=25, mult=2.1 |
23.0% | -21.9% | 1.04 | 1.05 | 3.3x | 15 | 31% |
| ROC 모멘텀 n=91, threshold=0.04 |
20.1% | -29.3% | 0.91 | 0.69 | 2.9x | 19 | 40% |
| EMA 크로스오버 fast=10, slow=69 |
18.2% | -31.7% | 0.80 | 0.58 | 2.6x | 19 | 45% |
| ADX / DI 방향성 period=9, threshold=35 |
15.1% | -27.9% | 0.77 | 0.54 | 2.3x | 43 | 25% |
| Supertrend period=26, mult=4.7 |
17.2% | -40.3% | 0.76 | 0.43 | 2.5x | 13 | 44% |
| SMA 크로스오버 fast=5, slow=81 |
17.2% | -39.1% | 0.76 | 0.44 | 2.5x | 19 | 44% |
| 볼린저 밴드 돌파 n=48, k=1.1 |
15.6% | -39.1% | 0.71 | 0.40 | 2.3x | 27 | 39% |
| Donchian 채널 돌파 entryN=94, exitN=24 |
8.7% | -21.3% | 0.60 | 0.41 | 1.6x | 9 | 21% |
| MACD fast=16, slow=51, signal=9 |
12.2% | -59.6% | 0.55 | 0.20 | 1.9x | 72 | 49% |
| Parabolic SAR step=0.01, maxStep=0.12 |
9.6% | -52.0% | 0.46 | 0.19 | 1.7x | 67 | 49% |
| Buy and hold | 8.2% | -79.3% | 0.40 | 0.10 | 1.6x | 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 48-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 48-day average