Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Addsino Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Addsino Co., Ltd. Class A. 9 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 14.9%, MDD -43.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.3%, drawdown -86.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.9%, MDD -43.0%, Sharpe 0.65, 15% exposure.
CAGR reference leader: MACD — CAGR 16.8%, MDD -83.4%, exposure 50%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 43.0%p (CAGR 14.9%, MDD -43.0%, exposure 15%).
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=19, atrPeriod=22, mult=2.5 |
14.9% | -43.0% | 0.65 | 0.35 | 94.0x | 114 | 15% |
| 볼린저 밴드 돌파 n=19, k=1.9 |
16.7% | -70.2% | 0.64 | 0.24 | 153.4x | 284 | 29% |
| MACD fast=18, slow=34, signal=11 |
16.8% | -83.4% | 0.60 | 0.20 | 161.5x | 409 | 50% |
| Parabolic SAR step=0.01, maxStep=0.08 |
15.2% | -73.6% | 0.57 | 0.21 | 101.4x | 354 | 47% |
| Supertrend period=25, mult=3.3 |
14.8% | -66.4% | 0.56 | 0.22 | 91.3x | 176 | 43% |
| Donchian 채널 돌파 entryN=12, exitN=18 |
12.4% | -77.9% | 0.49 | 0.16 | 45.0x | 226 | 57% |
| EMA 크로스오버 fast=55, slow=137 |
11.1% | -76.5% | 0.47 | 0.14 | 30.9x | 42 | 45% |
| SMA 크로스오버 fast=59, slow=66 |
9.4% | -73.6% | 0.42 | 0.13 | 18.9x | 198 | 50% |
| ADX / DI 방향성 period=10, threshold=31 |
7.9% | -71.0% | 0.40 | 0.11 | 12.1x | 266 | 21% |
| ROC 모멘텀 n=56, threshold=0.07 |
7.2% | -82.3% | 0.37 | 0.09 | 9.8x | 352 | 35% |
| Buy and hold | 7.3% | -86.0% | 0.39 | 0.09 | 10.1x | 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 19-day average + 2.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 19-day average