Trend-Following Backtester · Guide · backtest 한국어
equity · CN
37 Interactive Entertainment Network Technology Group Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of 37 Interactive Entertainment Network Technology Group Co., Ltd.. 10 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 12.5%, MDD -12.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 12.1%, drawdown -75.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 12.5%, MDD -12.1%, Sharpe 1.03, 1% exposure.
CAGR reference leader: MACD — CAGR 21.1%, MDD -61.1%, exposure 52%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 63.5%p (CAGR 12.5%, MDD -12.1%, 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=11, mult=3 |
12.5% | -12.1% | 1.03 | 1.04 | 6.1x | 10 | 1% |
| 볼린저 밴드 돌파 n=14, k=2.9 |
14.8% | -20.2% | 0.92 | 0.73 | 8.4x | 26 | 6% |
| Donchian 채널 돌파 entryN=60, exitN=5 |
20.2% | -43.4% | 0.88 | 0.47 | 17.1x | 48 | 15% |
| ADX / DI 방향성 period=9, threshold=43 |
17.5% | -26.2% | 0.85 | 0.67 | 12.1x | 66 | 12% |
| MACD fast=11, slow=31, signal=16 |
21.1% | -61.1% | 0.73 | 0.35 | 19.2x | 207 | 52% |
| Supertrend period=17, mult=4.4 |
20.0% | -55.4% | 0.69 | 0.36 | 16.7x | 46 | 49% |
| SMA 크로스오버 fast=34, slow=113 |
19.4% | -66.8% | 0.69 | 0.29 | 15.5x | 30 | 46% |
| EMA 크로스오버 fast=15, slow=188 |
14.7% | -70.7% | 0.57 | 0.21 | 8.3x | 32 | 45% |
| Parabolic SAR step=0.005, maxStep=0.34 |
13.9% | -58.6% | 0.56 | 0.24 | 7.4x | 113 | 47% |
| ROC 모멘텀 n=140, threshold=0.11 |
13.1% | -63.1% | 0.53 | 0.21 | 6.6x | 114 | 38% |
| Buy and hold | 12.1% | -75.5% | 0.49 | 0.16 | 5.8x | 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 + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average