Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Andon Health Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Andon Health 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 ADX / DI 방향성 (CAGR 18.9%, MDD -37.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 12.5%, drawdown -88.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 23.0%, MDD -43.8%, Sharpe 1.05, 6% exposure.
CAGR reference leader: Supertrend — CAGR 24.7%, MDD -51.8%, exposure 37%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 18.9%, MDD -37.3%, 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=8, atrPeriod=28, mult=2.7 |
23.0% | -43.8% | 1.05 | 0.52 | 29.2x | 40 | 6% |
| ROC 모멘텀 n=3, threshold=0.17 |
16.0% | -41.6% | 0.94 | 0.39 | 11.3x | 76 | 2% |
| ADX / DI 방향성 period=17, threshold=36 |
18.9% | -37.3% | 0.87 | 0.51 | 16.7x | 26 | 6% |
| Supertrend period=33, mult=2.9 |
24.7% | -51.8% | 0.80 | 0.48 | 36.8x | 112 | 37% |
| 볼린저 밴드 돌파 n=35, k=3.5 |
17.7% | -53.0% | 0.78 | 0.33 | 14.3x | 24 | 9% |
| Parabolic SAR step=0.005, maxStep=0.32 |
22.3% | -70.8% | 0.73 | 0.31 | 26.6x | 114 | 41% |
| SMA 크로스오버 fast=66, slow=203 |
19.9% | -69.1% | 0.67 | 0.29 | 19.2x | 19 | 40% |
| Donchian 채널 돌파 entryN=102, exitN=8 |
14.8% | -64.8% | 0.66 | 0.23 | 9.5x | 40 | 12% |
| MACD fast=17, slow=24, signal=17 |
16.8% | -63.1% | 0.59 | 0.27 | 12.6x | 188 | 52% |
| EMA 크로스오버 fast=10, slow=218 |
16.4% | -73.7% | 0.59 | 0.22 | 12.0x | 35 | 39% |
| Buy and hold | 12.5% | -88.9% | 0.49 | 0.14 | 6.8x | 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 8-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average