Trend-Following Backtester · Guide · backtest 한국어
equity · IN
GlaxoSmithKline Pharmaceuticals Limited backtest
10 trend-following strategies were compared on the full daily history of GlaxoSmithKline Pharmaceuticals Limited. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 12.3%, drawdown -49.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.7%, MDD -49.9%, Sharpe 0.44, 73% 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=12, exitN=53 |
9.7% | -49.9% | 0.44 | 0.20 | 9.4x | 75 | 73% |
| Supertrend period=24, mult=2.8 |
9.1% | -54.9% | 0.43 | 0.17 | 8.2x | 113 | 52% |
| Keltner 채널 돌파 emaPeriod=108, atrPeriod=11, mult=0.5 |
9.0% | -49.9% | 0.42 | 0.18 | 8.1x | 131 | 52% |
| SMA 크로스오버 fast=16, slow=39 |
8.6% | -50.0% | 0.41 | 0.17 | 7.4x | 149 | 55% |
| ADX / DI 방향성 period=38, threshold=14 |
8.4% | -53.9% | 0.41 | 0.16 | 7.0x | 107 | 42% |
| 볼린저 밴드 돌파 n=56, k=2.4 |
8.1% | -49.9% | 0.40 | 0.16 | 6.5x | 75 | 34% |
| EMA 크로스오버 fast=55, slow=72 |
7.6% | -49.9% | 0.38 | 0.15 | 5.9x | 53 | 56% |
| Parabolic SAR step=0.005, maxStep=0.18 |
4.9% | -56.0% | 0.29 | 0.09 | 3.2x | 189 | 51% |
| ROC 모멘텀 n=43, threshold=0.03 |
4.8% | -49.9% | 0.29 | 0.10 | 3.1x | 303 | 43% |
| MACD fast=20, slow=68, signal=14 |
4.8% | -63.2% | 0.29 | 0.08 | 3.1x | 259 | 51% |
| Buy and hold | 12.3% | -49.9% | 0.50 | 0.25 | 16.6x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 12 days
- Sell — Sell when price breaks below the lowest low of the last 53 days