Trend-Following Backtester · Guide · backtest 한국어
equity · IN
SPR Auto Technologies Ltd backtest
10 trend-following strategies were compared on the full daily history of SPR Auto Technologies Ltd. 1 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 34.6%, MDD -28.9%).
Results by strategy
1 of 10 beat buy and hold (CAGR 36.1%, drawdown -85.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 17.0%, MDD -14.7%, Sharpe 1.59, 2% exposure.
CAGR reference leader: Supertrend — CAGR 46.7%, MDD -37.3%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.1%p lower than buy and hold, while drawdown improves by 71.2%p (CAGR 34.6%, MDD -28.9%, exposure 27%).
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=7, atrPeriod=8, mult=2.9 |
17.0% | -14.7% | 1.59 | 1.16 | 4.9x | 6 | 2% |
| ADX / DI 방향성 period=7, threshold=30 |
34.6% | -28.9% | 1.41 | 1.20 | 20.4x | 134 | 27% |
| Supertrend period=6, mult=4.4 |
46.7% | -37.3% | 1.41 | 1.25 | 48.7x | 19 | 53% |
| Donchian 채널 돌파 entryN=58, exitN=77 |
33.2% | -35.2% | 1.13 | 0.94 | 18.3x | 7 | 53% |
| SMA 크로스오버 fast=41, slow=181 |
30.8% | -35.2% | 1.08 | 0.88 | 15.2x | 7 | 53% |
| ROC 모멘텀 n=125, threshold=-0.02 |
31.3% | -35.2% | 1.05 | 0.89 | 15.8x | 21 | 57% |
| EMA 크로스오버 fast=31, slow=191 |
30.7% | -37.2% | 1.05 | 0.82 | 15.1x | 7 | 56% |
| Parabolic SAR step=0.04, maxStep=0.16 |
28.8% | -63.6% | 1.01 | 0.45 | 13.1x | 336 | 47% |
| 볼린저 밴드 돌파 n=40, k=2.3 |
19.4% | -33.5% | 0.95 | 0.58 | 6.0x | 35 | 27% |
| MACD fast=17, slow=62, signal=19 |
8.8% | -63.6% | 0.45 | 0.14 | 2.4x | 100 | 48% |
| Buy and hold | 36.1% | -85.9% | 0.97 | 0.42 | 22.7x | 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 7-day average + 2.9× volatility (Keltner top)
- Sell — Sell when the close falls back to the 7-day average