Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Asia-Potash International Investment (Guangzhou) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Asia-Potash International Investment (Guangzhou) 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 13.2%, MDD -52.4%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.1%, drawdown -87.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.2%, MDD -52.4%, Sharpe 0.62, 22% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 14.2%, MDD -52.8%, exposure 32%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 13.2%, MDD -52.4%, exposure 22%).
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=20, atrPeriod=28, mult=1.9 |
13.2% | -52.4% | 0.62 | 0.25 | 30.8x | 157 | 22% |
| 볼린저 밴드 돌파 n=19, k=1.7 |
14.2% | -52.8% | 0.61 | 0.27 | 39.3x | 273 | 32% |
| ADX / DI 방향성 period=38, threshold=11 |
13.2% | -61.9% | 0.55 | 0.21 | 30.5x | 189 | 43% |
| Parabolic SAR step=0.005, maxStep=0.36 |
13.0% | -66.2% | 0.54 | 0.20 | 28.9x | 195 | 47% |
| Supertrend period=6, mult=4.3 |
12.6% | -60.9% | 0.52 | 0.21 | 26.1x | 101 | 53% |
| MACD fast=15, slow=37, signal=19 |
11.8% | -73.2% | 0.51 | 0.16 | 21.5x | 301 | 50% |
| SMA 크로스오버 fast=11, slow=37 |
10.3% | -74.2% | 0.46 | 0.14 | 14.9x | 205 | 48% |
| Donchian 채널 돌파 entryN=12, exitN=31 |
10.6% | -78.4% | 0.46 | 0.14 | 16.2x | 145 | 69% |
| EMA 크로스오버 fast=27, slow=215 |
8.3% | -77.5% | 0.41 | 0.11 | 9.1x | 42 | 49% |
| ROC 모멘텀 n=19, threshold=0.08 |
7.1% | -65.8% | 0.39 | 0.11 | 6.7x | 447 | 25% |
| Buy and hold | 9.1% | -87.8% | 0.42 | 0.10 | 11.2x | 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 20-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average