Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Kingnet Network Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Kingnet Network Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 18.8%, MDD -47.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR 9.7%, drawdown -89.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 24.2%, MDD -49.1%, Sharpe 0.86, 35% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 14.4%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 18.8%, MDD -47.4%, exposure 25%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=48, exitN=24 |
24.2% | -49.1% | 0.86 | 0.49 | 29.6x | 34 | 35% |
| 볼린저 밴드 돌파 n=45, k=2.7 |
20.5% | -47.6% | 0.84 | 0.43 | 18.5x | 38 | 23% |
| ADX / DI 방향성 period=28, threshold=21 |
18.8% | -47.4% | 0.78 | 0.40 | 14.8x | 38 | 25% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=16, mult=1.9 |
18.4% | -59.8% | 0.74 | 0.31 | 14.0x | 82 | 26% |
| Parabolic SAR step=0.025, maxStep=0.1 |
20.1% | -54.6% | 0.71 | 0.37 | 17.5x | 275 | 44% |
| MACD fast=15, slow=53, signal=5 |
18.1% | -66.1% | 0.65 | 0.27 | 13.5x | 243 | 50% |
| Supertrend period=20, mult=3.7 |
17.9% | -70.9% | 0.64 | 0.25 | 13.2x | 63 | 50% |
| EMA 크로스오버 fast=22, slow=47 |
16.1% | -73.1% | 0.61 | 0.22 | 10.4x | 60 | 46% |
| SMA 크로스오버 fast=53, slow=205 |
16.5% | -65.4% | 0.60 | 0.25 | 10.9x | 14 | 47% |
| ROC 모멘텀 n=92, threshold=0.06 |
15.1% | -73.3% | 0.58 | 0.21 | 9.0x | 126 | 44% |
| Buy and hold | 9.7% | -89.4% | 0.45 | 0.11 | 4.3x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 48 days
- Sell — Sell when price breaks below the lowest low of the last 24 days