Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Kinwong Electronic Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Kinwong Electronic Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 15.2%, drawdown -59.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.2%, MDD -12.4%, Sharpe 0.41, 2% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.5%, MDD -56.3%, exposure 53%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=11, atrPeriod=9, mult=3.5 |
3.2% | -12.4% | 0.41 | 0.26 | 1.4x | 4 | 2% |
| 볼린저 밴드 돌파 n=43, k=2.9 |
5.8% | -34.1% | 0.37 | 0.17 | 1.7x | 22 | 18% |
| SMA 크로스오버 fast=44, slow=316 |
6.5% | -56.3% | 0.36 | 0.12 | 1.8x | 13 | 53% |
| Donchian 채널 돌파 entryN=31, exitN=74 |
6.3% | -53.9% | 0.36 | 0.12 | 1.8x | 17 | 70% |
| EMA 크로스오버 fast=57, slow=222 |
6.2% | -50.8% | 0.35 | 0.12 | 1.8x | 11 | 60% |
| MACD fast=13, slow=47, signal=14 |
6.2% | -50.5% | 0.35 | 0.12 | 1.8x | 117 | 48% |
| ADX / DI 방향성 period=6, threshold=28 |
6.1% | -47.9% | 0.35 | 0.13 | 1.8x | 208 | 38% |
| Supertrend period=29, mult=1.1 |
5.3% | -51.6% | 0.32 | 0.10 | 1.6x | 214 | 47% |
| ROC 모멘텀 n=263, threshold=-0.07 |
4.3% | -68.7% | 0.31 | 0.06 | 1.5x | 67 | 63% |
| Parabolic SAR step=0.025, maxStep=0.12 |
3.7% | -55.5% | 0.28 | 0.07 | 1.4x | 214 | 48% |
| Buy and hold | 15.2% | -59.9% | 0.55 | 0.25 | 3.9x | 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 11-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average