Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Founder Technology Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Founder Technology Group Co. Ltd. Class A. 4 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 18.2%, MDD -61.9%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.2%, drawdown -85.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.2%, MDD -61.9%, Sharpe 0.62, 27% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.0%p higher than buy and hold, while drawdown improves by 23.8%p (CAGR 18.2%, MDD -61.9%, exposure 27%).
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=46, atrPeriod=24, mult=2.4 |
18.2% | -61.9% | 0.62 | 0.29 | 390.6x | 126 | 27% |
| 볼린저 밴드 돌파 n=54, k=1.7 |
16.1% | -73.0% | 0.57 | 0.22 | 208.1x | 148 | 32% |
| ADX / DI 방향성 period=18, threshold=23 |
15.9% | -79.5% | 0.57 | 0.20 | 194.1x | 222 | 30% |
| Supertrend period=29, mult=5 |
13.5% | -84.8% | 0.51 | 0.16 | 92.1x | 108 | 46% |
| Donchian 채널 돌파 entryN=61, exitN=29 |
12.4% | -77.3% | 0.49 | 0.16 | 65.7x | 84 | 33% |
| MACD fast=15, slow=58, signal=19 |
12.2% | -73.8% | 0.48 | 0.17 | 61.3x | 361 | 50% |
| SMA 크로스오버 fast=15, slow=150 |
11.0% | -76.9% | 0.45 | 0.14 | 41.5x | 101 | 47% |
| Parabolic SAR step=0.01, maxStep=0.14 |
11.0% | -88.1% | 0.45 | 0.13 | 41.9x | 413 | 48% |
| EMA 크로스오버 fast=40, slow=111 |
9.0% | -75.7% | 0.41 | 0.12 | 21.5x | 83 | 47% |
| ROC 모멘텀 n=126, threshold=-0.03 |
8.9% | -83.2% | 0.41 | 0.11 | 20.6x | 285 | 57% |
| Buy and hold | 13.2% | -85.7% | 0.50 | 0.15 | 84.5x | 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 46-day average + 2.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 46-day average