Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Mango Excellent Media Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Mango Excellent Media Co., Ltd. Class A. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.2%, MDD -26.3%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.0%, drawdown -84.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.9%, MDD -35.7%, Sharpe 0.70, 16% exposure.
CAGR reference leader: MACD — CAGR 19.2%, MDD -56.5%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 49.1%p (CAGR 8.2%, MDD -26.3%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=27, k=2.8 |
14.9% | -35.7% | 0.70 | 0.42 | 5.0x | 34 | 16% |
| MACD fast=17, slow=36, signal=17 |
19.2% | -56.5% | 0.67 | 0.34 | 7.7x | 94 | 53% |
| Parabolic SAR step=0.015, maxStep=0.18 |
17.3% | -57.6% | 0.62 | 0.30 | 6.4x | 182 | 43% |
| Supertrend period=7, mult=3.3 |
17.3% | -48.6% | 0.62 | 0.36 | 6.4x | 54 | 46% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=12, mult=3.4 |
8.2% | -26.3% | 0.50 | 0.31 | 2.5x | 20 | 9% |
| Donchian 채널 돌파 entryN=18, exitN=15 |
10.2% | -59.9% | 0.46 | 0.17 | 3.1x | 64 | 46% |
| ADX / DI 방향성 period=19, threshold=14 |
9.3% | -59.9% | 0.43 | 0.15 | 2.8x | 124 | 40% |
| ROC 모멘텀 n=148, threshold=-0.02 |
5.6% | -61.3% | 0.33 | 0.09 | 1.9x | 72 | 43% |
| SMA 크로스오버 fast=1, slow=181 |
4.4% | -60.0% | 0.30 | 0.07 | 1.6x | 60 | 39% |
| EMA 크로스오버 fast=1, slow=175 |
2.1% | -73.1% | 0.23 | 0.03 | 1.3x | 78 | 41% |
| Buy and hold | 7.0% | -84.8% | 0.40 | 0.08 | 2.2x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 27-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 27-day middle average