Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Asia-Potash International Investment (Guangzhou) Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Asia-Potash International Investment (Guangzhou) 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 13.2%, MDD -52.4%).

Data 1998-12-24 ~ 2026-07-31daily bars 6,831 (27.6 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 9.1%, drawdown -87.8%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 13.2%, MDD -52.4%, Sharpe 0.62, 22% exposure.

CAGR reference leader: 볼린저 밴드 돌파 — CAGR 14.2%, MDD -52.8%, exposure 32%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 35.4%p (CAGR 13.2%, MDD -52.4%, 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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=20, atrPeriod=28, mult=1.9
13.2%-52.4%0.620.2530.8x15722%
볼린저 밴드 돌파
n=19, k=1.7
14.2%-52.8%0.610.2739.3x27332%
ADX / DI 방향성
period=38, threshold=11
13.2%-61.9%0.550.2130.5x18943%
Parabolic SAR
step=0.005, maxStep=0.36
13.0%-66.2%0.540.2028.9x19547%
Supertrend
period=6, mult=4.3
12.6%-60.9%0.520.2126.1x10153%
MACD
fast=15, slow=37, signal=19
11.8%-73.2%0.510.1621.5x30150%
SMA 크로스오버
fast=11, slow=37
10.3%-74.2%0.460.1414.9x20548%
Donchian 채널 돌파
entryN=12, exitN=31
10.6%-78.4%0.460.1416.2x14569%
EMA 크로스오버
fast=27, slow=215
8.3%-77.5%0.410.119.1x4249%
ROC 모멘텀
n=19, threshold=0.08
7.1%-65.8%0.390.116.7x44725%
Buy and hold9.1%-87.8%0.420.1011.2x1100%
1x 10x 1999 2003 2007 2011 2015 2019 2023 볼린저 밴드 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), 볼린저 밴드 돌파 (CAGR reference), Buy and hold.
0% -22% -44% -66% -88% 1999 2003 2007 2011 2015 2019 2023 Buy and hold볼린저 밴드 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -52.4% (1999-06-28 → 2006-04-25), recovered after 2,828 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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