Trend-Following Backtester · Guide · backtest 한국어
equity · CN
360 Security Technology, Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of 360 Security Technology, Inc. Class A. 10 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 20.3%, MDD -25.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.9%, drawdown -90.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 18.6%, MDD -27.9%, Sharpe 0.98, 4% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 20.3%, MDD -25.2%, exposure 6%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 15.7%p higher than buy and hold, while drawdown improves by 62.1%p (CAGR 20.3%, MDD -25.2%, exposure 6%).
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=18, atrPeriod=5, mult=3.8 |
18.6% | -27.9% | 0.98 | 0.67 | 12.0x | 6 | 4% |
| 볼린저 밴드 돌파 n=30, k=3.5 |
20.3% | -25.2% | 0.98 | 0.80 | 14.6x | 10 | 6% |
| Donchian 채널 돌파 entryN=101, exitN=10 |
19.1% | -46.1% | 0.82 | 0.42 | 12.8x | 24 | 13% |
| ROC 모멘텀 n=9, threshold=0.14 |
16.3% | -40.5% | 0.80 | 0.40 | 9.0x | 102 | 7% |
| ADX / DI 방향성 period=19, threshold=37 |
15.4% | -37.3% | 0.75 | 0.41 | 8.0x | 20 | 8% |
| Supertrend period=10, mult=2.2 |
14.5% | -73.3% | 0.57 | 0.20 | 7.1x | 134 | 43% |
| Parabolic SAR step=0.01, maxStep=0.26 |
12.7% | -79.8% | 0.53 | 0.16 | 5.7x | 164 | 45% |
| MACD fast=11, slow=22, signal=16 |
11.1% | -77.4% | 0.48 | 0.14 | 4.6x | 207 | 51% |
| SMA 크로스오버 fast=46, slow=89 |
7.7% | -76.3% | 0.39 | 0.10 | 3.0x | 48 | 38% |
| EMA 크로스오버 fast=43, slow=82 |
5.8% | -74.6% | 0.34 | 0.08 | 2.3x | 28 | 36% |
| Buy and hold | 2.9% | -90.0% | 0.30 | 0.03 | 1.5x | 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 18-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 18-day average