Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Giant Network Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Giant Network Group 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 24.1%, MDD -35.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR 7.7%, drawdown -90.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 24.1%, MDD -35.3%, Sharpe 1.10, 21% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 16.4%p higher than buy and hold, while drawdown improves by 54.9%p (CAGR 24.1%, MDD -35.3%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=10, mult=3.1 |
24.1% | -35.3% | 1.10 | 0.68 | 27.8x | 24 | 21% |
| 볼린저 밴드 돌파 n=40, k=3.5 |
20.2% | -51.2% | 0.94 | 0.40 | 17.0x | 26 | 13% |
| Donchian 채널 돌파 entryN=91, exitN=10 |
18.7% | -54.8% | 0.88 | 0.34 | 14.1x | 38 | 19% |
| Supertrend period=21, mult=2.6 |
21.8% | -64.5% | 0.83 | 0.34 | 20.9x | 98 | 38% |
| ROC 모멘텀 n=86, threshold=0.14 |
18.2% | -60.9% | 0.76 | 0.30 | 13.0x | 72 | 25% |
| EMA 크로스오버 fast=47, slow=203 |
18.4% | -51.3% | 0.72 | 0.36 | 13.5x | 14 | 41% |
| ADX / DI 방향성 period=17, threshold=38 |
11.5% | -53.2% | 0.69 | 0.22 | 5.3x | 24 | 8% |
| SMA 크로스오버 fast=41, slow=177 |
15.9% | -62.5% | 0.65 | 0.25 | 9.7x | 24 | 40% |
| Parabolic SAR step=0.005, maxStep=0.24 |
14.8% | -73.5% | 0.62 | 0.20 | 8.4x | 112 | 41% |
| MACD fast=17, slow=58, signal=14 |
10.5% | -82.9% | 0.48 | 0.13 | 4.6x | 148 | 50% |
| Buy and hold | 7.7% | -90.2% | 0.39 | 0.09 | 3.2x | 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 28-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 28-day average