Trend-Following Backtester · Guide · backtest 한국어
equity · CN
EVE Energy Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of EVE Energy Co. Ltd. Class A. 7 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 22.5%, MDD -45.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.2%, drawdown -78.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 22.5%, MDD -45.5%, Sharpe 0.77, 31% exposure.
CAGR reference leader: Supertrend — CAGR 23.0%, MDD -64.1%, exposure 47%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 22.5%, MDD -45.5%, exposure 31%).
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=38, atrPeriod=9, mult=2.1 |
22.5% | -45.5% | 0.77 | 0.49 | 30.0x | 72 | 31% |
| Supertrend period=24, mult=2.6 |
23.0% | -64.1% | 0.74 | 0.36 | 32.1x | 122 | 47% |
| 볼린저 밴드 돌파 n=34, k=1.6 |
21.0% | -48.7% | 0.72 | 0.43 | 24.4x | 102 | 34% |
| ADX / DI 방향성 period=14, threshold=16 |
19.3% | -58.6% | 0.66 | 0.33 | 19.2x | 240 | 46% |
| ROC 모멘텀 n=143, threshold=0.04 |
19.1% | -63.3% | 0.64 | 0.30 | 18.6x | 96 | 47% |
| Donchian 채널 돌파 entryN=12, exitN=14 |
19.0% | -70.7% | 0.63 | 0.27 | 18.3x | 120 | 54% |
| MACD fast=10, slow=37, signal=16 |
17.9% | -61.9% | 0.63 | 0.29 | 15.8x | 237 | 50% |
| SMA 크로스오버 fast=21, slow=277 |
14.9% | -67.3% | 0.55 | 0.22 | 10.2x | 26 | 47% |
| EMA 크로스오버 fast=32, slow=141 |
13.7% | -69.2% | 0.52 | 0.20 | 8.6x | 34 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
11.9% | -69.5% | 0.49 | 0.17 | 6.6x | 132 | 48% |
| Buy and hold | 15.2% | -78.9% | 0.55 | 0.19 | 10.7x | 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 38-day average + 2.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 38-day average