Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Canmax Technologies Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Canmax Technologies Co., Ltd. Class A. 6 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 39.0%, MDD -49.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 27.1%, drawdown -85.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 39.1%, MDD -52.3%, Sharpe 1.06, 22% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.0%p higher than buy and hold, while drawdown improves by 32.7%p (CAGR 39.0%, MDD -49.3%, exposure 25%).
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=20, atrPeriod=25, mult=1.9 |
39.1% | -52.3% | 1.06 | 0.75 | 52.0x | 56 | 22% |
| 볼린저 밴드 돌파 n=41, k=2.4 |
39.0% | -49.3% | 1.02 | 0.79 | 51.6x | 36 | 25% |
| Donchian 채널 돌파 entryN=29, exitN=7 |
29.2% | -54.4% | 0.88 | 0.54 | 21.5x | 68 | 23% |
| Parabolic SAR step=0.015, maxStep=0.32 |
33.4% | -76.2% | 0.86 | 0.44 | 31.5x | 196 | 50% |
| ADX / DI 방향성 period=7, threshold=20 |
30.5% | -67.3% | 0.81 | 0.45 | 24.1x | 276 | 47% |
| Supertrend period=14, mult=1.9 |
29.2% | -74.5% | 0.80 | 0.39 | 21.4x | 142 | 45% |
| ROC 모멘텀 n=26, threshold=0.07 |
26.5% | -59.3% | 0.76 | 0.45 | 16.7x | 184 | 32% |
| EMA 크로스오버 fast=43, slow=93 |
26.2% | -72.1% | 0.72 | 0.36 | 16.2x | 20 | 48% |
| MACD fast=7, slow=71, signal=13 |
23.3% | -78.7% | 0.69 | 0.30 | 12.3x | 190 | 50% |
| SMA 크로스오버 fast=34, slow=85 |
23.5% | -72.3% | 0.68 | 0.33 | 12.5x | 32 | 42% |
| Buy and hold | 27.1% | -85.0% | 0.71 | 0.32 | 17.7x | 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 20-day average + 1.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 20-day average