Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Swancor Advanced Materials Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Swancor Advanced Materials Co. Ltd. Class A. 8 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 45.3%, MDD -22.2%).
Results by strategy
8 of 10 beat buy and hold (CAGR 40.5%, drawdown -74.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 45.3%, MDD -22.2%, Sharpe 1.36, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 57.5%, MDD -48.7%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 52.4%p (CAGR 45.3%, MDD -22.2%, 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=22, mult=3.7 |
45.3% | -22.2% | 1.36 | 2.04 | 9.4x | 4 | 3% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
44.4% | -23.1% | 1.34 | 1.93 | 9.1x | 2 | 2% |
| SMA 크로스오버 fast=7, slow=260 |
57.5% | -48.7% | 1.13 | 1.18 | 15.3x | 11 | 38% |
| MACD fast=12, slow=48, signal=9 |
52.3% | -43.6% | 1.12 | 1.20 | 12.5x | 80 | 48% |
| EMA 크로스오버 fast=14, slow=175 |
56.3% | -48.7% | 1.12 | 1.16 | 14.6x | 9 | 40% |
| Supertrend period=16, mult=1.4 |
47.0% | -49.2% | 1.02 | 0.95 | 10.1x | 100 | 46% |
| Donchian 채널 돌파 entryN=99, exitN=61 |
48.5% | -51.5% | 1.02 | 0.94 | 10.7x | 5 | 38% |
| ROC 모멘텀 n=120, threshold=0.07 |
46.1% | -51.1% | 1.00 | 0.90 | 9.7x | 47 | 35% |
| ADX / DI 방향성 period=12, threshold=30 |
37.8% | -47.0% | 0.97 | 0.80 | 6.9x | 40 | 22% |
| Parabolic SAR step=0.045, maxStep=0.1 |
39.8% | -58.6% | 0.92 | 0.68 | 7.5x | 142 | 46% |
| Buy and hold | 40.5% | -74.6% | 0.86 | 0.54 | 7.7x | 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 + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average