Trend-Following Backtester · Guide · backtest 한국어
equity · IN
SPR Auto Technologies Ltd backtest
10 trend-following strategies were compared on the full daily history of SPR Auto Technologies Ltd. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 46.9%, MDD -37.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 36.4%, drawdown -85.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.8%, MDD -14.7%, Sharpe 1.59, 2% exposure.
CAGR reference leader: Supertrend — CAGR 46.9%, MDD -37.3%, exposure 53%.
Return/drawdown alternative: Supertrend — CAGR is 19.5%p lower than buy and hold, while drawdown improves by 71.2%p (CAGR 46.9%, MDD -37.3%, exposure 53%).
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=7, atrPeriod=8, mult=2.9 |
16.8% | -14.7% | 1.59 | 1.15 | 4.9x | 6 | 2% |
| Supertrend period=6, mult=4.4 |
46.9% | -37.3% | 1.41 | 1.26 | 51.0x | 19 | 53% |
| ADX / DI 방향성 period=7, threshold=30 |
33.5% | -28.9% | 1.38 | 1.16 | 19.2x | 138 | 27% |
| Donchian 채널 돌파 entryN=58, exitN=77 |
33.5% | -35.2% | 1.14 | 0.95 | 19.2x | 7 | 53% |
| SMA 크로스오버 fast=41, slow=181 |
31.1% | -35.2% | 1.09 | 0.89 | 16.0x | 7 | 54% |
| ROC 모멘텀 n=125, threshold=-0.02 |
31.6% | -35.2% | 1.06 | 0.90 | 16.6x | 21 | 57% |
| EMA 크로스오버 fast=31, slow=191 |
31.0% | -37.2% | 1.06 | 0.83 | 15.8x | 7 | 57% |
| Parabolic SAR step=0.04, maxStep=0.16 |
28.0% | -63.6% | 0.99 | 0.44 | 12.5x | 340 | 48% |
| 볼린저 밴드 돌파 n=40, k=2.3 |
19.8% | -33.5% | 0.96 | 0.59 | 6.3x | 35 | 27% |
| MACD fast=17, slow=62, signal=19 |
7.5% | -63.6% | 0.40 | 0.12 | 2.1x | 104 | 48% |
| Buy and hold | 36.4% | -85.9% | 0.98 | 0.42 | 23.8x | 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 7-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average