Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Kingnet Network Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Kingnet Network 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 12.3%, MDD -18.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.1%, drawdown -89.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.3%, MDD -18.9%, Sharpe 0.92, 3% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.5%, MDD -48.2%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 70.5%p (CAGR 12.3%, MDD -18.9%, exposure 3%).
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=11, atrPeriod=9, mult=3.3 |
12.3% | -18.9% | 0.92 | 0.65 | 6.3x | 6 | 3% |
| Donchian 채널 돌파 entryN=42, exitN=25 |
23.5% | -48.2% | 0.84 | 0.49 | 28.3x | 38 | 38% |
| 볼린저 밴드 돌파 n=32, k=3.1 |
16.3% | -47.5% | 0.82 | 0.34 | 10.9x | 30 | 14% |
| ADX / DI 방향성 period=23, threshold=25 |
18.2% | -45.8% | 0.78 | 0.40 | 14.0x | 40 | 21% |
| Parabolic SAR step=0.025, maxStep=0.1 |
20.2% | -54.6% | 0.71 | 0.37 | 18.4x | 278 | 44% |
| MACD fast=7, slow=66, signal=10 |
18.2% | -64.8% | 0.65 | 0.28 | 14.0x | 244 | 50% |
| EMA 크로스오버 fast=57, slow=94 |
17.9% | -65.4% | 0.64 | 0.27 | 13.6x | 22 | 47% |
| Supertrend period=24, mult=4.3 |
17.8% | -60.6% | 0.63 | 0.29 | 13.3x | 53 | 53% |
| SMA 크로스오버 fast=50, slow=83 |
16.6% | -65.4% | 0.62 | 0.25 | 11.3x | 49 | 47% |
| ROC 모멘텀 n=92, threshold=0.08 |
15.2% | -71.2% | 0.58 | 0.21 | 9.3x | 118 | 42% |
| Buy and hold | 9.1% | -89.4% | 0.43 | 0.10 | 4.0x | 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 11-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average