Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Swancor Advanced Materials Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Swancor Advanced Materials Co. Ltd. Class A. 6 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 46.8%, MDD -22.2%).
Results by strategy
6 of 10 beat buy and hold (CAGR 47.3%, drawdown -74.6%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 46.8%, MDD -22.2%, Sharpe 1.38, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 66.0%, MDD -48.7%, exposure 36%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.4%p lower than buy and hold, while drawdown improves by 52.4%p (CAGR 46.8%, MDD -22.2%, exposure 3%).
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=8, atrPeriod=18, mult=3.7 |
46.8% | -22.2% | 1.38 | 2.11 | 9.4x | 4 | 3% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
45.9% | -23.1% | 1.36 | 1.99 | 9.1x | 2 | 2% |
| ROC 모멘텀 n=121, threshold=0.23 |
62.6% | -37.7% | 1.26 | 1.66 | 17.1x | 20 | 22% |
| EMA 크로스오버 fast=27, slow=242 |
65.5% | -48.7% | 1.24 | 1.35 | 18.9x | 5 | 34% |
| SMA 크로스오버 fast=7, slow=258 |
66.0% | -48.7% | 1.24 | 1.36 | 19.3x | 9 | 36% |
| MACD fast=13, slow=30, signal=9 |
62.3% | -50.2% | 1.24 | 1.24 | 16.9x | 81 | 48% |
| Donchian 채널 돌파 entryN=110, exitN=70 |
55.6% | -51.9% | 1.11 | 1.07 | 13.2x | 5 | 36% |
| Supertrend period=23, mult=0.9 |
52.1% | -52.8% | 1.07 | 0.99 | 11.5x | 157 | 44% |
| Parabolic SAR step=0.02, maxStep=0.36 |
40.0% | -56.8% | 0.92 | 0.70 | 7.1x | 119 | 45% |
| ADX / DI 방향성 period=14, threshold=29 |
27.4% | -43.6% | 0.79 | 0.63 | 4.1x | 34 | 20% |
| Buy and hold | 47.3% | -74.6% | 0.93 | 0.63 | 9.6x | 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 8-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 8-day average