Trend-Following Backtester · Guide · backtest 한국어
equity · IN
Clean Science & Technology Ltd. backtest
10 trend-following strategies were compared on the full daily history of Clean Science & Technology Ltd.. 10 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 1.4%, MDD -8.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -14.3%, drawdown -75.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 1.9%, MDD -8.6%, Sharpe 0.30, 3% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 16.2%p higher than buy and hold, while drawdown improves by 66.7%p (CAGR 1.4%, MDD -8.0%, exposure 6%).
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=12, atrPeriod=21, mult=3.1 |
1.9% | -8.6% | 0.30 | 0.22 | 1.1x | 4 | 3% |
| 볼린저 밴드 돌파 n=19, k=3.2 |
1.4% | -8.0% | 0.23 | 0.18 | 1.1x | 6 | 6% |
| ROC 모멘텀 n=26, threshold=0.04 |
0.3% | -25.8% | 0.11 | 0.01 | 1.0x | 56 | 25% |
| SMA 크로스오버 fast=12, slow=40 |
-0.0% | -37.5% | 0.10 | -0.00 | 1.0x | 30 | 36% |
| Supertrend period=27, mult=1.9 |
-1.4% | -46.9% | 0.04 | -0.03 | 0.9x | 48 | 38% |
| EMA 크로스오버 fast=13, slow=23 |
-2.7% | -46.8% | -0.01 | -0.06 | 0.9x | 32 | 37% |
| Donchian 채널 돌파 entryN=16, exitN=41 |
-3.2% | -47.1% | -0.02 | -0.07 | 0.8x | 18 | 48% |
| MACD fast=12, slow=23, signal=9 |
-4.2% | -49.6% | -0.07 | -0.08 | 0.8x | 88 | 50% |
| Parabolic SAR step=0.015, maxStep=0.14 |
-4.2% | -41.5% | -0.08 | -0.10 | 0.8x | 84 | 45% |
| ADX / DI 방향성 period=13, threshold=24 |
-3.0% | -41.8% | -0.10 | -0.07 | 0.9x | 46 | 24% |
| Buy and hold | -14.3% | -75.3% | -0.31 | -0.19 | 0.5x | 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 12-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 12-day average