Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Dajin Heavy Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Dajin Heavy Industry 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 Keltner 채널 돌파 (CAGR 22.9%, MDD -30.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.8%, drawdown -82.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 22.9%, MDD -30.1%, Sharpe 0.87, 22% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 23.2%, MDD -49.2%, exposure 33%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 15.1%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 22.9%, MDD -30.1%, exposure 22%).
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=50, atrPeriod=8, mult=3.3 |
22.9% | -30.1% | 0.87 | 0.76 | 26.5x | 28 | 22% |
| ADX / DI 방향성 period=21, threshold=20 |
23.2% | -49.2% | 0.82 | 0.47 | 27.6x | 84 | 33% |
| 볼린저 밴드 돌파 n=52, k=2.1 |
22.1% | -39.5% | 0.82 | 0.56 | 23.8x | 50 | 29% |
| Donchian 채널 돌파 entryN=96, exitN=34 |
20.1% | -44.9% | 0.79 | 0.45 | 18.2x | 20 | 26% |
| Parabolic SAR step=0.01, maxStep=0.1 |
22.8% | -64.2% | 0.78 | 0.36 | 26.2x | 180 | 47% |
| Supertrend period=10, mult=2.9 |
22.0% | -69.3% | 0.74 | 0.32 | 23.6x | 100 | 52% |
| EMA 크로스오버 fast=4, slow=98 |
21.0% | -56.9% | 0.72 | 0.37 | 20.6x | 76 | 45% |
| ROC 모멘텀 n=49, threshold=0.08 |
17.1% | -58.9% | 0.66 | 0.29 | 12.2x | 170 | 31% |
| MACD fast=14, slow=41, signal=16 |
18.1% | -60.2% | 0.65 | 0.30 | 14.0x | 185 | 52% |
| SMA 크로스오버 fast=19, slow=143 |
16.1% | -69.9% | 0.60 | 0.23 | 10.7x | 32 | 47% |
| Buy and hold | 7.8% | -82.9% | 0.40 | 0.09 | 3.3x | 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 50-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 50-day average