Trend-Following Backtester · Guide · backtest 한국어
equity · CN
CGN Power Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of CGN Power Co., Ltd. Class A. 6 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 5.4%, MDD -17.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 2.0%, drawdown -51.4%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.4%, MDD -17.0%, Sharpe 0.48, 17% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.7%, MDD -23.2%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.5%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 5.4%, MDD -17.0%, exposure 17%).
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=32, atrPeriod=17, mult=2.5 |
5.4% | -17.0% | 0.48 | 0.32 | 1.4x | 16 | 17% |
| Donchian 채널 돌파 entryN=57, exitN=36 |
5.7% | -23.2% | 0.44 | 0.24 | 1.5x | 12 | 38% |
| 볼린저 밴드 돌파 n=48, k=3 |
4.2% | -20.9% | 0.40 | 0.20 | 1.3x | 14 | 18% |
| SMA 크로스오버 fast=22, slow=182 |
3.3% | -25.1% | 0.28 | 0.13 | 1.3x | 8 | 40% |
| EMA 크로스오버 fast=50, slow=116 |
2.6% | -26.0% | 0.24 | 0.10 | 1.2x | 8 | 40% |
| ROC 모멘텀 n=191, threshold=-0.04 |
2.5% | -35.9% | 0.23 | 0.07 | 1.2x | 35 | 56% |
| ADX / DI 방향성 period=37, threshold=22 |
1.2% | -20.9% | 0.16 | 0.06 | 1.1x | 8 | 15% |
| MACD fast=17, slow=63, signal=23 |
1.0% | -28.9% | 0.15 | 0.04 | 1.1x | 49 | 51% |
| Supertrend period=29, mult=4.7 |
0.6% | -35.5% | 0.12 | 0.02 | 1.0x | 14 | 41% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-1.4% | -36.5% | 0.01 | -0.04 | 0.9x | 83 | 44% |
| Buy and hold | 2.0% | -51.4% | 0.21 | 0.04 | 1.1x | 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 32-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 32-day average