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 10.6%, MDD -20.1%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.2%, drawdown -72.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.6%, MDD -20.1%, Sharpe 0.58, 7% exposure.
CAGR reference leader: MACD — CAGR 12.1%, MDD -47.9%, exposure 49%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 52.9%p (CAGR 10.6%, 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 |
10.6% | -20.1% | 0.58 | 0.53 | 2.3x | 24 | 7% |
| MACD fast=11, slow=58, signal=15 |
12.1% | -47.9% | 0.50 | 0.25 | 2.5x | 100 | 49% |
| 볼린저 밴드 돌파 n=29, k=3.3 |
8.8% | -35.3% | 0.50 | 0.25 | 2.0x | 14 | 11% |
| ADX / DI 방향성 period=11, threshold=26 |
10.1% | -51.9% | 0.46 | 0.20 | 2.2x | 78 | 31% |
| SMA 크로스오버 fast=37, slow=84 |
10.4% | -56.0% | 0.46 | 0.19 | 2.2x | 27 | 47% |
| EMA 크로스오버 fast=57, slow=191 |
9.6% | -71.1% | 0.44 | 0.13 | 2.1x | 9 | 46% |
| Supertrend period=23, mult=2.3 |
9.1% | -54.3% | 0.43 | 0.17 | 2.0x | 79 | 43% |
| ROC 모멘텀 n=118, threshold=0.14 |
7.4% | -53.0% | 0.38 | 0.14 | 1.8x | 68 | 33% |
| 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 | 272 | 48% |
| Buy and hold | 5.2% | -72.9% | 0.36 | 0.07 | 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 10-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 10-day average