Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Castech Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Castech Inc. Class A. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.0%, MDD -42.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.0%, drawdown -79.9%).
Sharpe leader (same as main): Supertrend — CAGR 12.7%, MDD -48.8%, Sharpe 0.53, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 31.1%p (CAGR 10.0%, MDD -42.1%, exposure 28%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=26, mult=2 |
12.7% | -48.8% | 0.53 | 0.26 | 9.0x | 210 | 48% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=8, mult=1.5 |
10.0% | -42.1% | 0.49 | 0.24 | 5.8x | 152 | 28% |
| Donchian 채널 돌파 entryN=5, exitN=76 |
11.9% | -70.6% | 0.48 | 0.17 | 7.8x | 54 | 91% |
| 볼린저 밴드 돌파 n=32, k=1.9 |
9.5% | -52.3% | 0.46 | 0.18 | 5.3x | 112 | 32% |
| MACD fast=11, slow=46, signal=14 |
9.1% | -64.4% | 0.43 | 0.14 | 5.0x | 244 | 51% |
| Parabolic SAR step=0.015, maxStep=0.12 |
8.7% | -69.1% | 0.42 | 0.13 | 4.7x | 294 | 49% |
| ROC 모멘텀 n=142, threshold=-0.04 |
7.5% | -66.9% | 0.39 | 0.11 | 3.8x | 150 | 69% |
| ADX / DI 방향성 period=16, threshold=30 |
4.9% | -54.1% | 0.32 | 0.09 | 2.4x | 62 | 18% |
| SMA 크로스오버 fast=50, slow=75 |
4.7% | -73.5% | 0.32 | 0.06 | 2.3x | 74 | 55% |
| EMA 크로스오버 fast=50, slow=75 |
3.1% | -85.3% | 0.28 | 0.04 | 1.7x | 48 | 58% |
| Buy and hold | 10.0% | -79.9% | 0.45 | 0.13 | 5.8x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 26-day volatility, 2× band
- Sell — Sell when price drops below the trend line (flips down)