Trend-Following Backtester · Guide · backtest 한국어
equity · CN
BAIC BluePark New Energy Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of BAIC BluePark New Energy Technology Co., Ltd. Class A. 10 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 6.4%, MDD -11.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.1%, drawdown -91.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.4%, MDD -11.1%, Sharpe 1.03, 3% exposure.
CAGR reference leader: MACD — CAGR 17.2%, MDD -78.4%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.3%p higher than buy and hold, while drawdown improves by 80.4%p (CAGR 6.4%, MDD -11.1%, exposure 3%).
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=8, atrPeriod=12, mult=3.5 |
6.4% | -11.1% | 1.03 | 0.58 | 6.4x | 4 | 3% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
6.2% | -15.7% | 1.00 | 0.39 | 6.1x | 4 | 3% |
| MACD fast=19, slow=20, signal=15 |
17.2% | -78.4% | 0.65 | 0.22 | 118.1x | 364 | 47% |
| Donchian 채널 돌파 entryN=98, exitN=7 |
11.9% | -42.2% | 0.64 | 0.28 | 29.6x | 72 | 16% |
| Supertrend period=9, mult=3.3 |
16.7% | -58.4% | 0.62 | 0.29 | 103.1x | 142 | 55% |
| EMA 크로스오버 fast=31, slow=158 |
13.6% | -64.3% | 0.55 | 0.21 | 46.1x | 42 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
13.3% | -77.4% | 0.54 | 0.17 | 42.7x | 214 | 50% |
| ADX / DI 방향성 period=17, threshold=22 |
11.5% | -51.5% | 0.52 | 0.22 | 26.3x | 206 | 33% |
| ROC 모멘텀 n=111, threshold=0.02 |
12.0% | -68.0% | 0.51 | 0.18 | 29.8x | 254 | 45% |
| SMA 크로스오버 fast=10, slow=153 |
10.3% | -72.7% | 0.47 | 0.14 | 19.2x | 82 | 47% |
| Buy and hold | 6.1% | -91.5% | 0.36 | 0.07 | 5.9x | 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 8-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average