Trend-Following Backtester · Guide · backtest 한국어
equity · CN
SDIC Capital Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of SDIC Capital Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.6%, MDD -10.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 4.0%, drawdown -82.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.6%, MDD -10.4%, Sharpe 0.69, 0% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 11.0%, MDD -54.7%, exposure 42%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.6%p higher than buy and hold, while drawdown improves by 71.6%p (CAGR 5.6%, MDD -10.4%, exposure 0%).
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=4, atrPeriod=11, mult=3.8 |
5.6% | -10.4% | 0.69 | 0.54 | 4.9x | 4 | 0% |
| 볼린저 밴드 돌파 n=12, k=3.3 |
6.2% | -19.1% | 0.65 | 0.33 | 5.9x | 18 | 2% |
| Donchian 채널 돌파 entryN=100, exitN=71 |
11.0% | -54.7% | 0.50 | 0.20 | 21.4x | 34 | 42% |
| SMA 크로스오버 fast=24, slow=176 |
10.2% | -73.4% | 0.47 | 0.14 | 17.4x | 52 | 46% |
| Supertrend period=5, mult=4.9 |
10.5% | -61.7% | 0.46 | 0.17 | 18.6x | 74 | 57% |
| EMA 크로스오버 fast=20, slow=21 |
9.0% | -67.9% | 0.43 | 0.13 | 12.6x | 188 | 46% |
| ROC 모멘텀 n=153, threshold=0.06 |
7.5% | -75.1% | 0.39 | 0.10 | 8.5x | 178 | 41% |
| MACD fast=19, slow=25, signal=21 |
6.8% | -74.0% | 0.37 | 0.09 | 7.0x | 340 | 49% |
| Parabolic SAR step=0.01, maxStep=0.08 |
4.2% | -66.1% | 0.29 | 0.06 | 3.4x | 348 | 48% |
| ADX / DI 방향성 period=32, threshold=28 |
2.3% | -44.4% | 0.22 | 0.05 | 1.9x | 28 | 9% |
| Buy and hold | 4.0% | -82.0% | 0.31 | 0.05 | 3.1x | 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 4-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average