Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yunnan Energy New Material (Group) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yunnan Energy New Material (Group) 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 32.5%, MDD -30.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 18.4%, drawdown -92.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 32.5%, MDD -30.9%, Sharpe 1.07, 34% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 33.4%, MDD -32.7%, exposure 38%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 61.2%p (CAGR 32.5%, MDD -30.9%, exposure 34%).
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=54, atrPeriod=10, mult=2.3 |
32.5% | -30.9% | 1.07 | 1.05 | 16.1x | 24 | 34% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
33.4% | -32.7% | 1.06 | 1.02 | 17.3x | 30 | 38% |
| Donchian 채널 돌파 entryN=50, exitN=38 |
32.8% | -42.6% | 1.01 | 0.77 | 16.5x | 18 | 43% |
| SMA 크로스오버 fast=21, slow=89 |
32.3% | -47.4% | 0.98 | 0.68 | 15.8x | 18 | 46% |
| EMA 크로스오버 fast=19, slow=62 |
29.2% | -42.0% | 0.92 | 0.70 | 12.6x | 28 | 46% |
| ROC 모멘텀 n=20, threshold=0.06 |
24.8% | -49.0% | 0.88 | 0.51 | 8.9x | 160 | 36% |
| ADX / DI 방향성 period=29, threshold=11 |
27.0% | -52.6% | 0.87 | 0.51 | 10.6x | 86 | 46% |
| Supertrend period=16, mult=4.1 |
23.8% | -59.9% | 0.78 | 0.40 | 8.2x | 32 | 50% |
| MACD fast=13, slow=42, signal=16 |
7.8% | -85.8% | 0.39 | 0.09 | 2.1x | 116 | 54% |
| Parabolic SAR step=0.04, maxStep=0.34 |
7.4% | -80.6% | 0.38 | 0.09 | 2.0x | 309 | 52% |
| Buy and hold | 18.4% | -92.1% | 0.60 | 0.20 | 5.3x | 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 54-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average