Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Western Metal Materials Co. Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Western Metal Materials Co. Ltd Class A. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.4%, MDD -30.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 4.0%, drawdown -87.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.9%, MDD -31.9%, Sharpe 0.65, 8% exposure.
CAGR reference leader: Supertrend — CAGR 15.4%, MDD -58.6%, exposure 51%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.9%p higher than buy and hold, while drawdown improves by 55.4%p (CAGR 8.4%, MDD -30.5%, exposure 6%).
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=19, atrPeriod=9, mult=3.6 |
9.9% | -31.9% | 0.65 | 0.31 | 6.1x | 18 | 8% |
| Supertrend period=16, mult=3.9 |
15.4% | -58.6% | 0.58 | 0.26 | 15.6x | 76 | 51% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
8.4% | -30.5% | 0.56 | 0.28 | 4.7x | 22 | 6% |
| MACD fast=13, slow=48, signal=18 |
14.0% | -52.8% | 0.55 | 0.27 | 12.3x | 197 | 52% |
| SMA 크로스오버 fast=12, slow=46 |
12.2% | -70.2% | 0.50 | 0.17 | 9.0x | 108 | 49% |
| ADX / DI 방향성 period=30, threshold=18 |
10.5% | -55.7% | 0.48 | 0.19 | 6.7x | 60 | 27% |
| ROC 모멘텀 n=37, threshold=0.01 |
10.4% | -70.6% | 0.46 | 0.15 | 6.6x | 278 | 47% |
| Donchian 채널 돌파 entryN=11, exitN=18 |
9.0% | -62.9% | 0.42 | 0.14 | 5.2x | 132 | 64% |
| EMA 크로스오버 fast=14, slow=43 |
8.7% | -70.7% | 0.42 | 0.12 | 5.0x | 94 | 50% |
| Parabolic SAR step=0.01, maxStep=0.14 |
7.8% | -75.8% | 0.39 | 0.10 | 4.2x | 236 | 49% |
| Buy and hold | 4.0% | -87.3% | 0.34 | 0.05 | 2.1x | 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 19-day average + 3.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average