Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hongfa Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hongfa Technology Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
1 of 10 beat buy and hold (CAGR 12.2%, drawdown -79.7%).
Sharpe leader (same as main): Supertrend — CAGR 13.7%, MDD -67.5%, Sharpe 0.53, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=3.6 |
13.7% | -67.5% | 0.53 | 0.20 | 49.6x | 119 | 57% |
| Donchian 채널 돌파 entryN=12, exitN=15 |
8.4% | -63.2% | 0.41 | 0.13 | 11.8x | 218 | 60% |
| MACD fast=23, slow=67, signal=24 |
7.0% | -68.6% | 0.38 | 0.10 | 8.0x | 242 | 51% |
| 볼린저 밴드 돌파 n=54, k=0.9 |
6.1% | -62.1% | 0.35 | 0.10 | 6.1x | 192 | 46% |
| ROC 모멘텀 n=195, threshold=0.03 |
5.2% | -81.0% | 0.33 | 0.06 | 4.7x | 167 | 57% |
| Parabolic SAR step=0.015, maxStep=0.2 |
5.3% | -70.4% | 0.32 | 0.08 | 4.8x | 502 | 52% |
| EMA 크로스오버 fast=50, slow=205 |
3.8% | -85.9% | 0.29 | 0.04 | 3.1x | 39 | 59% |
| SMA 크로스오버 fast=32, slow=215 |
3.4% | -85.3% | 0.28 | 0.04 | 2.8x | 59 | 58% |
| ADX / DI 방향성 period=22, threshold=11 |
1.5% | -66.0% | 0.22 | 0.02 | 1.6x | 380 | 53% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=7, mult=1.7 |
0.4% | -72.3% | 0.17 | 0.01 | 1.1x | 188 | 39% |
| Buy and hold | 12.2% | -79.7% | 0.48 | 0.15 | 33.1x | 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, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)