Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Walvax Biotechnology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Walvax Biotechnology Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.4%, MDD -46.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.1%, drawdown -89.5%).
Sharpe leader (same as main): Supertrend — CAGR 14.2%, MDD -49.2%, Sharpe 0.59, 46% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 5.4%, MDD -46.1%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=17, mult=3.2 |
14.2% | -49.2% | 0.59 | 0.29 | 8.1x | 79 | 46% |
| SMA 크로스오버 fast=33, slow=114 |
10.9% | -64.9% | 0.50 | 0.17 | 5.1x | 43 | 46% |
| Parabolic SAR step=0.005, maxStep=0.06 |
10.9% | -59.6% | 0.49 | 0.18 | 5.1x | 105 | 50% |
| MACD fast=24, slow=64, signal=20 |
9.6% | -74.7% | 0.45 | 0.13 | 4.2x | 111 | 54% |
| 볼린저 밴드 돌파 n=39, k=2.5 |
7.7% | -50.1% | 0.43 | 0.15 | 3.2x | 47 | 21% |
| EMA 크로스오버 fast=37, slow=118 |
8.5% | -66.7% | 0.42 | 0.13 | 3.6x | 23 | 48% |
| Donchian 채널 돌파 entryN=24, exitN=16 |
6.0% | -69.9% | 0.35 | 0.09 | 2.5x | 79 | 41% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=20, mult=1.6 |
5.4% | -46.1% | 0.35 | 0.12 | 2.3x | 101 | 21% |
| ROC 모멘텀 n=26, threshold=0 |
3.9% | -76.6% | 0.28 | 0.05 | 1.8x | 269 | 47% |
| ADX / DI 방향성 period=17, threshold=20 |
2.3% | -61.2% | 0.22 | 0.04 | 1.4x | 119 | 33% |
| Buy and hold | 2.1% | -89.5% | 0.27 | 0.02 | 1.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 17-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)