Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Lingyi iTech (Guangdong) Company Class A backtest
10 trend-following strategies were compared on the full daily history of Lingyi iTech (Guangdong) Company Class A. 9 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 13.5%, MDD -36.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.2%, drawdown -77.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.5%, MDD -36.8%, Sharpe 0.67, 14% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.2%, MDD -47.7%, exposure 70%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 40.5%p (CAGR 13.5%, MDD -36.8%, exposure 14%).
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=39, atrPeriod=7, mult=4 |
13.5% | -36.8% | 0.67 | 0.37 | 6.7x | 20 | 14% |
| Donchian 채널 돌파 entryN=8, exitN=21 |
16.2% | -47.7% | 0.57 | 0.34 | 9.6x | 96 | 70% |
| 볼린저 밴드 돌파 n=15, k=2.8 |
10.3% | -40.1% | 0.56 | 0.26 | 4.4x | 54 | 11% |
| ADX / DI 방향성 period=19, threshold=30 |
10.1% | -41.6% | 0.53 | 0.24 | 4.2x | 36 | 18% |
| EMA 크로스오버 fast=3, slow=59 |
13.2% | -50.2% | 0.52 | 0.26 | 6.5x | 114 | 51% |
| Supertrend period=5, mult=2.4 |
12.9% | -62.3% | 0.51 | 0.21 | 6.2x | 120 | 57% |
| SMA 크로스오버 fast=3, slow=58 |
10.9% | -56.7% | 0.47 | 0.19 | 4.8x | 114 | 49% |
| Parabolic SAR step=0.015, maxStep=0.26 |
9.5% | -64.5% | 0.44 | 0.15 | 3.9x | 218 | 49% |
| MACD fast=7, slow=27, signal=12 |
6.6% | -78.3% | 0.36 | 0.08 | 2.6x | 279 | 49% |
| ROC 모멘텀 n=46, threshold=0.06 |
3.6% | -65.6% | 0.28 | 0.05 | 1.7x | 196 | 38% |
| Buy and hold | 6.2% | -77.3% | 0.38 | 0.08 | 2.5x | 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 39-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 39-day average