Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Unisplendour Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Unisplendour Co., Ltd. Class A. 2 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 8.5%, MDD -12.6%).
Results by strategy
2 of 10 beat buy and hold (CAGR 6.1%, drawdown -86.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.5%, MDD -12.6%, Sharpe 0.89, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.4%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 8.5%, MDD -12.6%, exposure 1%).
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=4, atrPeriod=6, mult=2.7 |
8.5% | -12.6% | 0.89 | 0.68 | 9.0x | 6 | 1% |
| 볼린저 밴드 돌파 n=14, k=3.5 |
7.3% | -24.5% | 0.74 | 0.30 | 6.6x | 6 | 1% |
| Donchian 채널 돌파 entryN=18, exitN=48 |
5.8% | -72.7% | 0.35 | 0.08 | 4.6x | 95 | 66% |
| Supertrend period=25, mult=2.2 |
6.1% | -76.5% | 0.34 | 0.08 | 4.8x | 264 | 45% |
| MACD fast=18, slow=22, signal=16 |
4.2% | -82.2% | 0.30 | 0.05 | 3.0x | 352 | 52% |
| EMA 크로스오버 fast=15, slow=62 |
3.7% | -70.5% | 0.28 | 0.05 | 2.6x | 113 | 47% |
| SMA 크로스오버 fast=19, slow=111 |
3.4% | -79.3% | 0.28 | 0.04 | 2.4x | 83 | 47% |
| ROC 모멘텀 n=113, threshold=-0.09 |
2.1% | -78.8% | 0.26 | 0.03 | 1.8x | 247 | 65% |
| ADX / DI 방향성 period=30, threshold=32 |
2.3% | -57.8% | 0.23 | 0.04 | 1.8x | 14 | 4% |
| Parabolic SAR step=0.015, maxStep=0.24 |
1.8% | -74.7% | 0.23 | 0.02 | 1.6x | 422 | 49% |
| Buy and hold | 6.1% | -86.5% | 0.37 | 0.07 | 4.9x | 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 4-day average + 2.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average