Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Gotion High-tech Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Gotion High-tech Co., Ltd Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.4%, MDD -36.1%).
Results by strategy
9 of 10 beat buy and hold (CAGR 10.7%, drawdown -74.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.9%, MDD -46.3%, Sharpe 0.67, 20% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 28.5%p (CAGR 11.4%, MDD -36.1%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=28, k=2.5 |
14.9% | -46.3% | 0.67 | 0.32 | 15.8x | 64 | 20% |
| ADX / DI 방향성 period=20, threshold=24 |
14.4% | -61.1% | 0.64 | 0.24 | 14.4x | 70 | 21% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=19, mult=2.4 |
11.4% | -36.1% | 0.62 | 0.32 | 8.5x | 60 | 10% |
| Supertrend period=24, mult=2.5 |
14.6% | -68.0% | 0.58 | 0.22 | 15.1x | 169 | 45% |
| Parabolic SAR step=0.015, maxStep=0.14 |
14.8% | -62.2% | 0.57 | 0.24 | 15.5x | 302 | 49% |
| Donchian 채널 돌파 entryN=39, exitN=13 |
13.1% | -55.7% | 0.57 | 0.24 | 11.5x | 78 | 28% |
| SMA 크로스오버 fast=55, slow=200 |
14.6% | -59.1% | 0.55 | 0.25 | 14.9x | 20 | 51% |
| ROC 모멘텀 n=151, threshold=-0.04 |
14.8% | -59.7% | 0.55 | 0.25 | 15.5x | 124 | 57% |
| EMA 크로스오버 fast=76, slow=133 |
12.7% | -58.3% | 0.51 | 0.22 | 10.8x | 20 | 54% |
| MACD fast=17, slow=43, signal=17 |
10.5% | -72.7% | 0.46 | 0.14 | 7.2x | 209 | 50% |
| Buy and hold | 10.7% | -74.8% | 0.46 | 0.14 | 7.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 28-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 28-day middle average