Trend-Following Backtester · Guide · backtest 한국어
equity · CN
SUPCON Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of SUPCON Technology 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 9.0%, MDD -20.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.7%, drawdown -59.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.0%, MDD -20.4%, Sharpe 0.66, 3% exposure.
CAGR reference leader: MACD — CAGR 15.1%, MDD -40.5%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 38.7%p (CAGR 9.0%, MDD -20.4%, 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=9, atrPeriod=13, mult=2.2 |
9.0% | -20.4% | 0.66 | 0.44 | 1.6x | 6 | 3% |
| MACD fast=8, slow=49, signal=8 |
15.1% | -40.5% | 0.61 | 0.37 | 2.2x | 92 | 50% |
| ROC 모멘텀 n=9, threshold=0.08 |
9.1% | -26.7% | 0.52 | 0.34 | 1.7x | 90 | 15% |
| Donchian 채널 돌파 entryN=46, exitN=81 |
11.7% | -39.7% | 0.50 | 0.30 | 1.9x | 7 | 51% |
| SMA 크로스오버 fast=47, slow=217 |
10.1% | -39.9% | 0.47 | 0.25 | 1.7x | 7 | 44% |
| 볼린저 밴드 돌파 n=32, k=2.1 |
9.3% | -28.5% | 0.47 | 0.32 | 1.7x | 30 | 28% |
| EMA 크로스오버 fast=45, slow=252 |
8.7% | -38.4% | 0.43 | 0.23 | 1.6x | 5 | 41% |
| Supertrend period=19, mult=3 |
5.1% | -44.8% | 0.32 | 0.11 | 1.3x | 33 | 44% |
| ADX / DI 방향성 period=27, threshold=9 |
3.2% | -49.2% | 0.27 | 0.06 | 1.2x | 71 | 54% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.7% | -63.9% | 0.24 | 0.04 | 1.2x | 100 | 48% |
| Buy and hold | 4.7% | -59.2% | 0.33 | 0.08 | 1.3x | 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 9-day average + 2.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 9-day average