Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Pacific Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Pacific Securities 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 6.1%, MDD -18.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -7.6%, drawdown -89.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.1%, MDD -18.3%, Sharpe 0.54, 2% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 9.1%, MDD -31.4%, exposure 13%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 70.7%p (CAGR 6.1%, MDD -18.3%, exposure 2%).
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=7, atrPeriod=28, mult=2.8 |
6.1% | -18.3% | 0.54 | 0.33 | 3.0x | 22 | 2% |
| 볼린저 밴드 돌파 n=58, k=3.2 |
9.1% | -31.4% | 0.54 | 0.29 | 5.1x | 22 | 13% |
| Donchian 채널 돌파 entryN=84, exitN=8 |
7.1% | -44.0% | 0.47 | 0.16 | 3.6x | 36 | 11% |
| ADX / DI 방향성 period=23, threshold=40 |
3.1% | -36.6% | 0.31 | 0.08 | 1.8x | 14 | 5% |
| Parabolic SAR step=0.005, maxStep=0.14 |
2.1% | -76.1% | 0.22 | 0.03 | 1.5x | 131 | 44% |
| MACD fast=19, slow=39, signal=13 |
1.6% | -73.6% | 0.21 | 0.02 | 1.4x | 200 | 52% |
| ROC 모멘텀 n=107, threshold=0.12 |
1.3% | -51.2% | 0.17 | 0.02 | 1.3x | 78 | 23% |
| Supertrend period=23, mult=2.2 |
0.4% | -68.8% | 0.16 | 0.01 | 1.1x | 163 | 39% |
| SMA 크로스오버 fast=31, slow=188 |
-0.2% | -68.9% | 0.13 | -0.00 | 1.0x | 30 | 34% |
| EMA 크로스오버 fast=48, slow=115 |
-0.8% | -66.6% | 0.10 | -0.01 | 0.9x | 30 | 31% |
| Buy and hold | -7.6% | -89.0% | 0.04 | -0.09 | 0.2x | 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 7-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average