Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hundsun Technologies Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Hundsun Technologies Inc. Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.4%, MDD -50.3%).
Results by strategy
4 of 10 beat buy and hold (CAGR 18.3%, drawdown -79.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.4%, MDD -58.4%, Sharpe 0.85, 53% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.0%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 21.4%, MDD -50.3%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=28, slow=137 |
27.4% | -58.4% | 0.85 | 0.47 | 237.9x | 36 | 53% |
| Donchian 채널 돌파 entryN=113, exitN=29 |
21.4% | -50.3% | 0.81 | 0.43 | 80.5x | 36 | 33% |
| EMA 크로스오버 fast=59, slow=66 |
24.1% | -66.2% | 0.78 | 0.36 | 132.8x | 40 | 54% |
| ROC 모멘텀 n=106, threshold=0.02 |
22.2% | -71.3% | 0.74 | 0.31 | 93.4x | 148 | 53% |
| 볼린저 밴드 돌파 n=47, k=3.2 |
13.9% | -36.0% | 0.68 | 0.38 | 18.8x | 34 | 16% |
| MACD fast=16, slow=56, signal=17 |
16.4% | -67.6% | 0.62 | 0.24 | 31.0x | 231 | 49% |
| Supertrend period=20, mult=3.8 |
16.5% | -65.6% | 0.62 | 0.25 | 32.0x | 100 | 52% |
| Parabolic SAR step=0.005, maxStep=0.26 |
15.4% | -65.5% | 0.59 | 0.24 | 25.7x | 177 | 51% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=13, mult=1 |
13.9% | -72.7% | 0.56 | 0.19 | 18.9x | 196 | 44% |
| ADX / DI 방향성 period=41, threshold=9 |
14.1% | -67.8% | 0.55 | 0.21 | 19.6x | 204 | 55% |
| Buy and hold | 18.3% | -79.9% | 0.60 | 0.23 | 45.1x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 28-day average price crosses above the 137-day average
- Sell — Sell (to cash) when the 28-day average falls below the 137-day average