Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tianqi Lithium Corp. Class A backtest
10 trend-following strategies were compared on the full daily history of Tianqi Lithium Corp. Class A. 8 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 17.2%, MDD -38.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 9.3%, drawdown -83.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.7%, MDD -42.8%, Sharpe 0.74, 23% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 19.2%, MDD -48.1%, exposure 23%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 17.2%, MDD -38.8%, exposure 30%).
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=12, atrPeriod=16, mult=1.4 |
18.7% | -42.8% | 0.74 | 0.44 | 15.3x | 134 | 23% |
| ADX / DI 방향성 period=11, threshold=30 |
19.2% | -48.1% | 0.74 | 0.40 | 16.3x | 120 | 23% |
| 볼린저 밴드 돌파 n=53, k=1.9 |
17.2% | -38.8% | 0.65 | 0.44 | 12.4x | 54 | 30% |
| Donchian 채널 돌파 entryN=33, exitN=11 |
16.6% | -51.5% | 0.64 | 0.32 | 11.6x | 72 | 28% |
| ROC 모멘텀 n=17, threshold=0.11 |
14.4% | -52.0% | 0.60 | 0.28 | 8.5x | 238 | 22% |
| MACD fast=16, slow=50, signal=15 |
15.4% | -76.2% | 0.57 | 0.20 | 9.8x | 168 | 50% |
| Supertrend period=18, mult=2.9 |
10.4% | -69.4% | 0.46 | 0.15 | 4.8x | 114 | 45% |
| EMA 크로스오버 fast=40, slow=192 |
10.4% | -71.3% | 0.45 | 0.15 | 4.8x | 22 | 50% |
| Parabolic SAR step=0.02, maxStep=0.18 |
9.1% | -77.6% | 0.42 | 0.12 | 4.0x | 315 | 47% |
| SMA 크로스오버 fast=11, slow=161 |
6.0% | -74.2% | 0.35 | 0.08 | 2.5x | 42 | 49% |
| Buy and hold | 9.3% | -83.2% | 0.44 | 0.11 | 4.1x | 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 12-day average + 1.4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average