Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Seazen Holdings Co.,Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Seazen Holdings Co.,Ltd. Class A. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.6%, MDD -29.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -6.2%, drawdown -84.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 9.6%, MDD -29.8%, Sharpe 0.59, 17% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.8%p higher than buy and hold, while drawdown improves by 54.5%p (CAGR 8.6%, MDD -29.3%, exposure 16%).
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=110, exitN=18 |
9.6% | -29.8% | 0.59 | 0.32 | 2.7x | 16 | 17% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=21, mult=2.6 |
8.6% | -29.3% | 0.51 | 0.29 | 2.4x | 38 | 16% |
| 볼린저 밴드 돌파 n=28, k=2.7 |
8.1% | -41.7% | 0.48 | 0.19 | 2.3x | 38 | 19% |
| SMA 크로스오버 fast=36, slow=87 |
9.5% | -60.6% | 0.47 | 0.16 | 2.6x | 32 | 45% |
| MACD fast=19, slow=56, signal=14 |
8.8% | -68.5% | 0.43 | 0.13 | 2.5x | 95 | 51% |
| ADX / DI 방향성 period=15, threshold=29 |
6.9% | -32.6% | 0.42 | 0.21 | 2.0x | 48 | 17% |
| EMA 크로스오버 fast=9, slow=180 |
5.8% | -52.3% | 0.35 | 0.11 | 1.8x | 26 | 44% |
| ROC 모멘텀 n=63, threshold=0.06 |
3.5% | -62.1% | 0.27 | 0.06 | 1.4x | 116 | 36% |
| Supertrend period=10, mult=2.1 |
0.6% | -69.1% | 0.18 | 0.01 | 1.1x | 117 | 51% |
| Parabolic SAR step=0.035, maxStep=0.08 |
0.1% | -73.7% | 0.16 | 0.00 | 1.0x | 195 | 48% |
| Buy and hold | -6.2% | -84.3% | 0.09 | -0.07 | 0.5x | 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 110 days
- Sell — Sell when price breaks below the lowest low of the last 18 days