Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Andon Health Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Andon Health Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.5%, MDD -45.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 13.5%, drawdown -88.9%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 20.3%, MDD -47.9%, Sharpe 0.94, 7% exposure.
CAGR reference leader: Supertrend — CAGR 27.5%, MDD -48.5%, exposure 36%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 16.5%, MDD -45.1%, exposure 8%).
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=11, atrPeriod=20, mult=3 |
20.3% | -47.9% | 0.94 | 0.42 | 19.7x | 40 | 7% |
| Supertrend period=46, mult=3.1 |
27.5% | -48.5% | 0.85 | 0.57 | 50.7x | 102 | 36% |
| 볼린저 밴드 돌파 n=35, k=3.4 |
18.1% | -53.0% | 0.77 | 0.34 | 14.7x | 28 | 10% |
| ADX / DI 방향성 period=22, threshold=31 |
16.5% | -45.1% | 0.74 | 0.36 | 11.7x | 28 | 8% |
| Parabolic SAR step=0.005, maxStep=0.34 |
22.9% | -70.8% | 0.74 | 0.32 | 27.9x | 113 | 41% |
| ROC 모멘텀 n=149, threshold=0.11 |
17.2% | -69.6% | 0.63 | 0.25 | 13.0x | 93 | 30% |
| Donchian 채널 돌파 entryN=102, exitN=37 |
16.2% | -65.5% | 0.61 | 0.25 | 11.3x | 26 | 28% |
| EMA 크로스오버 fast=4, slow=285 |
16.8% | -72.8% | 0.60 | 0.23 | 12.3x | 41 | 39% |
| MACD fast=17, slow=23, signal=15 |
16.7% | -61.2% | 0.59 | 0.27 | 12.1x | 211 | 52% |
| SMA 크로스오버 fast=12, slow=164 |
14.5% | -75.7% | 0.55 | 0.19 | 8.9x | 37 | 41% |
| Buy and hold | 13.5% | -88.9% | 0.51 | 0.15 | 7.7x | 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 11-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average