Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Putailai New Energy Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Putailai New Energy Technology Co., Ltd. Class A. 3 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 16.6%, MDD -28.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 17.3%, drawdown -84.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.6%, MDD -28.4%, Sharpe 0.78, 13% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.1%, MDD -53.1%, exposure 67%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.7%p lower than buy and hold, while drawdown improves by 55.9%p (CAGR 16.6%, MDD -28.4%, exposure 13%).
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=28, atrPeriod=13, mult=3.3 |
16.6% | -28.4% | 0.78 | 0.58 | 3.8x | 14 | 13% |
| 볼린저 밴드 돌파 n=22, k=3 |
14.7% | -25.9% | 0.76 | 0.57 | 3.3x | 18 | 12% |
| Donchian 채널 돌파 entryN=17, exitN=54 |
23.1% | -53.1% | 0.71 | 0.44 | 6.2x | 22 | 67% |
| MACD fast=15, slow=41, signal=20 |
20.9% | -68.8% | 0.71 | 0.30 | 5.2x | 77 | 47% |
| SMA 크로스오버 fast=13, slow=31 |
18.8% | -38.6% | 0.67 | 0.49 | 4.5x | 58 | 47% |
| Supertrend period=8, mult=3.8 |
14.8% | -47.0% | 0.56 | 0.32 | 3.3x | 32 | 55% |
| EMA 크로스오버 fast=16, slow=23 |
14.0% | -53.1% | 0.55 | 0.26 | 3.1x | 52 | 48% |
| ROC 모멘텀 n=22, threshold=0.04 |
10.0% | -60.5% | 0.46 | 0.17 | 2.3x | 146 | 38% |
| Parabolic SAR step=0.045, maxStep=0.2 |
9.1% | -58.8% | 0.43 | 0.16 | 2.1x | 269 | 47% |
| ADX / DI 방향성 period=12, threshold=32 |
6.1% | -41.7% | 0.38 | 0.15 | 1.7x | 56 | 17% |
| Buy and hold | 17.3% | -84.3% | 0.57 | 0.21 | 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 28-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average