Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hangzhou Cable Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Hangzhou Cable Co Ltd Class A. 6 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 17.5%, MDD -39.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.8%, drawdown -78.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.5%, MDD -39.6%, Sharpe 0.70, 17% exposure.
CAGR reference leader: Supertrend — CAGR 20.0%, MDD -84.9%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 38.9%p (CAGR 17.5%, MDD -39.6%, exposure 17%).
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=27, atrPeriod=11, mult=2.5 |
17.5% | -39.6% | 0.70 | 0.44 | 6.3x | 34 | 17% |
| Supertrend period=13, mult=2.4 |
20.0% | -84.9% | 0.67 | 0.24 | 8.1x | 102 | 49% |
| Donchian 채널 돌파 entryN=22, exitN=12 |
18.4% | -85.4% | 0.65 | 0.22 | 6.9x | 68 | 39% |
| Parabolic SAR step=0.025, maxStep=0.12 |
17.3% | -75.6% | 0.62 | 0.23 | 6.2x | 234 | 50% |
| MACD fast=7, slow=41, signal=9 |
16.1% | -70.8% | 0.59 | 0.23 | 5.5x | 234 | 52% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
11.8% | -37.5% | 0.58 | 0.31 | 3.6x | 12 | 11% |
| SMA 크로스오버 fast=6, slow=27 |
14.9% | -81.3% | 0.55 | 0.18 | 4.9x | 132 | 51% |
| ROC 모멘텀 n=17, threshold=0 |
9.8% | -89.1% | 0.44 | 0.11 | 2.9x | 288 | 53% |
| ADX / DI 방향성 period=13, threshold=23 |
8.3% | -86.3% | 0.40 | 0.10 | 2.5x | 128 | 35% |
| EMA 크로스오버 fast=16, slow=108 |
7.9% | -67.0% | 0.39 | 0.12 | 2.4x | 36 | 46% |
| Buy and hold | 12.8% | -78.5% | 0.50 | 0.16 | 4.0x | 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 27-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 27-day average