Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Talkweb Information System Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Talkweb Information System Co. Ltd. Class A. 9 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 9.8%, MDD -16.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.8%, drawdown -89.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.8%, MDD -16.0%, Sharpe 0.80, 2% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 17.2%, MDD -62.8%, exposure 21%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 73.7%p (CAGR 9.8%, MDD -16.0%, exposure 2%).
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=8, atrPeriod=14, mult=3.5 |
9.8% | -16.0% | 0.80 | 0.61 | 5.4x | 8 | 2% |
| 볼린저 밴드 돌파 n=17, k=2.3 |
17.2% | -62.8% | 0.67 | 0.27 | 17.4x | 128 | 21% |
| Donchian 채널 돌파 entryN=88, exitN=1 |
10.9% | -44.0% | 0.67 | 0.25 | 6.5x | 78 | 5% |
| MACD fast=19, slow=57, signal=11 |
16.9% | -81.5% | 0.59 | 0.21 | 16.8x | 208 | 48% |
| Parabolic SAR step=0.015, maxStep=0.16 |
16.0% | -81.4% | 0.58 | 0.20 | 14.5x | 266 | 45% |
| ROC 모멘텀 n=149, threshold=-0.02 |
14.1% | -69.6% | 0.53 | 0.20 | 10.9x | 118 | 54% |
| Supertrend period=33, mult=1.5 |
13.6% | -67.2% | 0.53 | 0.20 | 9.9x | 304 | 44% |
| SMA 크로스오버 fast=71, slow=159 |
12.9% | -71.0% | 0.50 | 0.18 | 9.0x | 26 | 49% |
| ADX / DI 방향성 period=6, threshold=31 |
11.7% | -72.2% | 0.49 | 0.16 | 7.4x | 354 | 32% |
| EMA 크로스오버 fast=14, slow=188 |
7.1% | -78.3% | 0.39 | 0.09 | 3.5x | 42 | 49% |
| Buy and hold | 8.8% | -89.7% | 0.45 | 0.10 | 4.6x | 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 8-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average