Trend-Following Backtester · Guide · backtest 한국어
equity · CN
QuantumCTek Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of QuantumCTek Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 18.9%, MDD -32.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 0.4%, drawdown -82.9%).
Sharpe leader (same as main): Supertrend — CAGR 27.5%, MDD -38.7%, Sharpe 0.80, 45% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 27.0%p higher than buy and hold, while drawdown improves by 44.2%p (CAGR 18.9%, MDD -32.5%, exposure 22%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=25, mult=3.1 |
27.5% | -38.7% | 0.80 | 0.71 | 4.4x | 30 | 45% |
| Donchian 채널 돌파 entryN=12, exitN=37 |
22.8% | -44.2% | 0.68 | 0.52 | 3.5x | 21 | 66% |
| EMA 크로스오버 fast=32, slow=44 |
21.2% | -34.4% | 0.68 | 0.62 | 3.3x | 18 | 44% |
| SMA 크로스오버 fast=40, slow=198 |
21.4% | -42.8% | 0.68 | 0.50 | 3.3x | 4 | 49% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=20, mult=2.9 |
18.9% | -32.5% | 0.68 | 0.58 | 2.9x | 12 | 22% |
| ADX / DI 방향성 period=15, threshold=21 |
20.4% | -39.9% | 0.67 | 0.51 | 3.1x | 46 | 34% |
| MACD fast=26, slow=37, signal=18 |
19.0% | -48.7% | 0.64 | 0.39 | 2.9x | 55 | 46% |
| ROC 모멘텀 n=145, threshold=-0.02 |
18.5% | -47.5% | 0.62 | 0.39 | 2.8x | 24 | 50% |
| 볼린저 밴드 돌파 n=58, k=1.8 |
15.2% | -35.8% | 0.57 | 0.42 | 2.4x | 24 | 31% |
| Parabolic SAR step=0.015, maxStep=0.12 |
5.3% | -61.4% | 0.33 | 0.09 | 1.4x | 96 | 45% |
| Buy and hold | 0.4% | -82.9% | 0.28 | 0.01 | 1.0x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 25-day volatility, 3.1× band
- Sell — Sell when price drops below the trend line (flips down)