Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guotai Haitong Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guotai Haitong Securities Co., Ltd. Class A. 7 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 0.7%, MDD -14.9%).
Results by strategy
7 of 10 beat buy and hold (CAGR -3.9%, drawdown -62.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 0.7%, MDD -14.9%, Sharpe 0.12, 3% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.6%p higher than buy and hold, while drawdown improves by 47.6%p (CAGR 0.7%, MDD -14.9%, exposure 3%).
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=17, atrPeriod=23, mult=4 |
0.7% | -14.9% | 0.12 | 0.04 | 1.1x | 8 | 3% |
| ADX / DI 방향성 period=11, threshold=39 |
0.4% | -21.1% | 0.10 | 0.02 | 1.1x | 36 | 10% |
| MACD fast=19, slow=42, signal=16 |
-0.3% | -53.2% | 0.09 | -0.01 | 1.0x | 104 | 52% |
| Donchian 채널 돌파 entryN=123, exitN=7 |
-0.3% | -24.4% | 0.02 | -0.01 | 1.0x | 20 | 7% |
| 볼린저 밴드 돌파 n=29, k=2.7 |
-1.2% | -42.8% | -0.02 | -0.03 | 0.9x | 40 | 19% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-2.7% | -54.0% | -0.02 | -0.05 | 0.7x | 128 | 48% |
| SMA 크로스오버 fast=57, slow=140 |
-3.0% | -42.3% | -0.09 | -0.07 | 0.7x | 30 | 42% |
| Supertrend period=30, mult=4.3 |
-5.1% | -67.1% | -0.12 | -0.08 | 0.6x | 39 | 49% |
| EMA 크로스오버 fast=77, slow=148 |
-4.8% | -60.2% | -0.18 | -0.08 | 0.6x | 18 | 46% |
| ROC 모멘텀 n=112, threshold=0.01 |
-6.2% | -67.7% | -0.26 | -0.09 | 0.5x | 120 | 43% |
| Buy and hold | -3.9% | -62.5% | 0.02 | -0.06 | 0.6x | 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 17-day average + 4× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average