Trend-Following Backtester · Guide · backtest 한국어
etf · CA
Financial 15 Split Corp. Class A backtest
10 trend-following strategies were compared on the full daily history of Financial 15 Split Corp. Class A. 10 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 2.7%, MDD -27.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR -3.4%, drawdown -87.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 5.7%, MDD -34.8%, Sharpe 0.41, 27% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 5.8%, MDD -51.6%, exposure 54%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 9.1%p higher than buy and hold, while drawdown improves by 53.1%p (CAGR 2.7%, MDD -27.1%, exposure 12%).
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=33, atrPeriod=16, mult=2.2 |
5.7% | -34.8% | 0.41 | 0.16 | 3.5x | 102 | 27% |
| 볼린저 밴드 돌파 n=37, k=1.7 |
5.4% | -40.6% | 0.38 | 0.13 | 3.3x | 137 | 32% |
| EMA 크로스오버 fast=34, slow=208 |
4.7% | -34.8% | 0.37 | 0.14 | 2.8x | 31 | 49% |
| SMA 크로스오버 fast=20, slow=48 |
5.8% | -51.6% | 0.37 | 0.11 | 3.6x | 117 | 54% |
| Supertrend period=12, mult=4.6 |
4.9% | -60.7% | 0.33 | 0.08 | 3.0x | 81 | 48% |
| Donchian 채널 돌파 entryN=49, exitN=19 |
4.1% | -51.2% | 0.32 | 0.08 | 2.5x | 83 | 36% |
| ADX / DI 방향성 period=18, threshold=26 |
2.7% | -27.1% | 0.30 | 0.10 | 1.8x | 80 | 12% |
| ROC 모멘텀 n=89, threshold=0.11 |
3.1% | -38.2% | 0.27 | 0.08 | 2.0x | 163 | 22% |
| Parabolic SAR step=0.005, maxStep=0.14 |
1.8% | -68.9% | 0.19 | 0.03 | 1.5x | 158 | 52% |
| MACD fast=18, slow=37, signal=13 |
-1.5% | -86.2% | 0.07 | -0.02 | 0.7x | 302 | 48% |
| Buy and hold | -3.4% | -87.9% | 0.11 | -0.04 | 0.5x | 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 33-day average + 2.2× volatility (Keltner top)
- Sell — Sell when the close falls back to the 33-day average