Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Red Avenue New Materials Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Red Avenue New Materials Group Co., Ltd. Class A. 8 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 10.7%, MDD -20.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 3.3%, drawdown -72.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.7%, MDD -20.1%, Sharpe 0.59, 7% exposure.
CAGR reference leader: MACD — CAGR 14.1%, MDD -47.9%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 10.7%, MDD -20.1%, exposure 7%).
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=10, atrPeriod=35, mult=2.3 |
10.7% | -20.1% | 0.59 | 0.53 | 2.3x | 24 | 7% |
| MACD fast=11, slow=58, signal=15 |
14.1% | -47.9% | 0.55 | 0.29 | 2.9x | 96 | 49% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
8.9% | -35.3% | 0.50 | 0.25 | 2.0x | 14 | 11% |
| ADX / DI 방향성 period=11, threshold=26 |
10.3% | -51.9% | 0.47 | 0.20 | 2.2x | 78 | 31% |
| Supertrend period=23, mult=2.3 |
9.9% | -54.3% | 0.45 | 0.18 | 2.1x | 78 | 43% |
| SMA 크로스오버 fast=37, slow=84 |
8.5% | -56.0% | 0.41 | 0.15 | 1.9x | 27 | 46% |
| ROC 모멘텀 n=118, threshold=0.14 |
7.9% | -53.0% | 0.40 | 0.15 | 1.8x | 66 | 33% |
| EMA 크로스오버 fast=57, slow=191 |
7.7% | -71.1% | 0.39 | 0.11 | 1.8x | 9 | 45% |
| Donchian 채널 돌파 entryN=112, exitN=18 |
3.0% | -51.9% | 0.25 | 0.06 | 1.3x | 16 | 17% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-1.3% | -68.7% | 0.16 | -0.02 | 0.9x | 270 | 48% |
| Buy and hold | 3.3% | -72.9% | 0.33 | 0.04 | 1.3x | 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 10-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average