Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Far East Smarter Energy Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Far East Smarter Energy Co. Ltd. Class A. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.5%, MDD -65.1%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.5%, drawdown -88.8%).
Sharpe leader (same as main): Supertrend — CAGR 13.9%, MDD -70.0%, Sharpe 0.54, 49% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 18.8%p (CAGR 10.5%, MDD -65.1%, exposure 22%).
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=25, mult=4.9 |
13.9% | -70.0% | 0.54 | 0.20 | 61.6x | 90 | 49% |
| Donchian 채널 돌파 entryN=3, exitN=20 |
13.5% | -72.3% | 0.51 | 0.19 | 54.4x | 307 | 80% |
| 볼린저 밴드 돌파 n=52, k=2.7 |
10.5% | -65.1% | 0.50 | 0.16 | 23.2x | 76 | 22% |
| SMA 크로스오버 fast=15, slow=55 |
9.1% | -68.5% | 0.42 | 0.13 | 15.6x | 168 | 49% |
| ADX / DI 방향성 period=30, threshold=29 |
6.5% | -45.1% | 0.42 | 0.14 | 7.2x | 34 | 10% |
| MACD fast=13, slow=56, signal=14 |
8.8% | -77.4% | 0.41 | 0.11 | 14.2x | 391 | 52% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=27, mult=3.4 |
7.7% | -77.4% | 0.40 | 0.10 | 10.3x | 84 | 24% |
| ROC 모멘텀 n=46, threshold=0.05 |
6.1% | -81.1% | 0.34 | 0.08 | 6.6x | 398 | 38% |
| EMA 크로스오버 fast=30, slow=174 |
5.2% | -75.7% | 0.32 | 0.07 | 4.9x | 61 | 46% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.8% | -80.2% | 0.25 | 0.03 | 2.4x | 493 | 47% |
| Buy and hold | 10.5% | -88.8% | 0.45 | 0.12 | 23.4x | 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) — 25-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)