Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Haier Smart Home Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Haier Smart Home Co., Ltd. Class A. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.9%, MDD -53.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 10.2%, drawdown -76.1%).
Sharpe leader (same as main): Supertrend — CAGR 14.7%, MDD -66.3%, Sharpe 0.59, 54% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 9.8%p (CAGR 10.9%, MDD -53.3%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=4.7 |
14.7% | -66.3% | 0.59 | 0.22 | 89.8x | 85 | 54% |
| SMA 크로스오버 fast=14, slow=63 |
13.2% | -66.2% | 0.56 | 0.20 | 59.0x | 141 | 51% |
| Donchian 채널 돌파 entryN=73, exitN=41 |
12.3% | -55.8% | 0.54 | 0.22 | 45.4x | 59 | 42% |
| EMA 크로스오버 fast=23, slow=37 |
11.8% | -64.4% | 0.52 | 0.18 | 38.6x | 143 | 50% |
| Keltner 채널 돌파 emaPeriod=88, atrPeriod=19, mult=2.8 |
10.9% | -53.3% | 0.52 | 0.21 | 30.1x | 88 | 33% |
| 볼린저 밴드 돌파 n=48, k=1 |
10.5% | -66.4% | 0.49 | 0.16 | 26.7x | 216 | 41% |
| ADX / DI 방향성 period=37, threshold=22 |
8.6% | -52.4% | 0.48 | 0.16 | 15.1x | 66 | 17% |
| ROC 모멘텀 n=70, threshold=0.04 |
7.7% | -69.9% | 0.40 | 0.11 | 11.3x | 344 | 42% |
| MACD fast=16, slow=38, signal=16 |
6.9% | -72.0% | 0.37 | 0.10 | 8.9x | 380 | 52% |
| Parabolic SAR step=0.01, maxStep=0.1 |
6.3% | -65.8% | 0.35 | 0.10 | 7.4x | 400 | 49% |
| Buy and hold | 10.2% | -76.1% | 0.44 | 0.13 | 24.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)