Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huatai Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Huatai Securities Co., Ltd. Class A. 10 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 6.3%, MDD -23.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.5%, drawdown -68.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 6.3%, MDD -23.9%, Sharpe 0.50, 7% exposure.
CAGR reference leader: MACD — CAGR 9.0%, MDD -45.4%, exposure 51%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 44.4%p (CAGR 6.3%, MDD -23.9%, exposure 7%).
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=16, atrPeriod=17, mult=3.1 |
6.3% | -23.9% | 0.50 | 0.26 | 2.7x | 28 | 7% |
| MACD fast=7, slow=52, signal=16 |
9.0% | -45.4% | 0.47 | 0.20 | 4.1x | 238 | 51% |
| ADX / DI 방향성 period=35, threshold=36 |
3.6% | -24.8% | 0.40 | 0.15 | 1.8x | 2 | 2% |
| 볼린저 밴드 돌파 n=30, k=3.3 |
5.2% | -39.7% | 0.40 | 0.13 | 2.3x | 28 | 10% |
| Donchian 채널 돌파 entryN=77, exitN=47 |
5.6% | -46.6% | 0.35 | 0.12 | 2.4x | 24 | 33% |
| Parabolic SAR step=0.01, maxStep=0.36 |
4.3% | -47.0% | 0.30 | 0.09 | 2.0x | 194 | 46% |
| Supertrend period=6, mult=1.5 |
3.6% | -52.4% | 0.27 | 0.07 | 1.8x | 248 | 45% |
| ROC 모멘텀 n=102, threshold=0.14 |
2.9% | -51.1% | 0.24 | 0.06 | 1.6x | 118 | 23% |
| SMA 크로스오버 fast=76, slow=142 |
0.2% | -59.6% | 0.14 | 0.00 | 1.0x | 30 | 41% |
| EMA 크로스오버 fast=10, slow=58 |
0.1% | -64.9% | 0.14 | 0.00 | 1.0x | 93 | 43% |
| Buy and hold | -0.5% | -68.3% | 0.18 | -0.01 | 0.9x | 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 16-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average