Trend-Following Backtester · Guide · backtest 한국어
equity · HK
AAC Technologies Holdings Inc. backtest
10 trend-following strategies were compared on the full daily history of AAC Technologies Holdings Inc.. 5 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 14.4%, MDD -37.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 12.7%, drawdown -93.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.4%, MDD -37.2%, Sharpe 0.66, 31% exposure.
CAGR reference leader: Supertrend — CAGR 16.6%, MDD -56.3%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 56.6%p (CAGR 14.4%, MDD -37.2%, exposure 31%).
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=50, atrPeriod=8, mult=2.8 |
14.4% | -37.2% | 0.66 | 0.39 | 16.8x | 62 | 31% |
| Supertrend period=12, mult=4 |
16.6% | -56.3% | 0.62 | 0.29 | 25.0x | 76 | 56% |
| Donchian 채널 돌파 entryN=58, exitN=64 |
15.3% | -53.3% | 0.59 | 0.29 | 19.9x | 35 | 53% |
| EMA 크로스오버 fast=49, slow=55 |
15.4% | -67.1% | 0.59 | 0.23 | 20.0x | 47 | 57% |
| SMA 크로스오버 fast=30, slow=65 |
13.9% | -53.9% | 0.56 | 0.26 | 15.4x | 74 | 54% |
| 볼린저 밴드 돌파 n=51, k=1.9 |
10.1% | -50.4% | 0.48 | 0.20 | 7.6x | 88 | 39% |
| ADX / DI 방향성 period=35, threshold=12 |
9.9% | -57.5% | 0.47 | 0.17 | 7.2x | 146 | 38% |
| ROC 모멘텀 n=39, threshold=-0.04 |
9.7% | -69.2% | 0.44 | 0.14 | 6.9x | 294 | 63% |
| Parabolic SAR step=0.01, maxStep=0.36 |
0.9% | -83.3% | 0.20 | 0.01 | 1.2x | 251 | 52% |
| MACD fast=17, slow=43, signal=15 |
-0.5% | -68.1% | 0.16 | -0.01 | 0.9x | 256 | 52% |
| Buy and hold | 12.7% | -93.8% | 0.49 | 0.13 | 12.2x | 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 50-day average + 2.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 50-day average