Trend-Following Backtester · Guide · backtest 한국어
equity · CN
GCL Energy Technology Co.,Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of GCL Energy Technology 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 7.3%, MDD -29.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.1%, drawdown -71.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.3%, MDD -29.4%, Sharpe 0.51, 10% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 8.5%, MDD -69.4%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 42.5%p (CAGR 7.3%, MDD -29.4%, exposure 10%).
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=16, atrPeriod=24, mult=3.8 |
7.3% | -29.4% | 0.51 | 0.25 | 4.7x | 26 | 10% |
| EMA 크로스오버 fast=47, slow=186 |
8.5% | -69.4% | 0.41 | 0.12 | 6.1x | 29 | 49% |
| 볼린저 밴드 돌파 n=17, k=3.5 |
2.9% | -19.6% | 0.40 | 0.15 | 1.9x | 6 | 6% |
| Donchian 채널 돌파 entryN=72, exitN=75 |
7.6% | -73.3% | 0.39 | 0.10 | 5.0x | 30 | 49% |
| ROC 모멘텀 n=113, threshold=0.12 |
7.1% | -57.1% | 0.38 | 0.12 | 4.5x | 129 | 32% |
| MACD fast=19, slow=42, signal=15 |
7.2% | -63.7% | 0.38 | 0.11 | 4.6x | 222 | 47% |
| SMA 크로스오버 fast=29, slow=241 |
7.2% | -77.7% | 0.38 | 0.09 | 4.6x | 35 | 49% |
| Supertrend period=31, mult=2.4 |
5.3% | -70.5% | 0.33 | 0.08 | 3.1x | 202 | 49% |
| Parabolic SAR step=0.01, maxStep=0.1 |
4.8% | -78.3% | 0.31 | 0.06 | 2.8x | 245 | 44% |
| ADX / DI 방향성 period=11, threshold=36 |
1.2% | -62.9% | 0.17 | 0.02 | 1.3x | 94 | 16% |
| Buy and hold | 7.1% | -71.8% | 0.38 | 0.10 | 4.5x | 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 16-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average