Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Seres Group Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Seres Group Co. Ltd. Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 27.3%, MDD -36.8%).
Results by strategy
9 of 10 beat buy and hold (CAGR 16.8%, drawdown -81.8%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.3%, MDD -36.8%, Sharpe 1.02, 9% exposure.
CAGR reference leader: Parabolic SAR — CAGR 30.1%, MDD -62.2%, exposure 44%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 10.5%p higher than buy and hold, while drawdown improves by 45.0%p (CAGR 27.3%, MDD -36.8%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=5, threshold=0.11 |
27.3% | -36.8% | 1.02 | 0.74 | 11.8x | 122 | 9% |
| Parabolic SAR step=0.015, maxStep=0.12 |
30.1% | -62.2% | 0.86 | 0.48 | 14.6x | 160 | 44% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=26, mult=3.6 |
21.0% | -44.4% | 0.80 | 0.47 | 7.0x | 24 | 14% |
| ADX / DI 방향성 period=39, threshold=11 |
24.9% | -53.3% | 0.75 | 0.47 | 9.7x | 60 | 45% |
| EMA 크로스오버 fast=62, slow=70 |
23.0% | -64.5% | 0.72 | 0.36 | 8.2x | 14 | 43% |
| 볼린저 밴드 돌파 n=47, k=2.5 |
18.6% | -48.0% | 0.70 | 0.39 | 5.7x | 30 | 19% |
| SMA 크로스오버 fast=9, slow=182 |
20.6% | -58.9% | 0.67 | 0.35 | 6.8x | 18 | 38% |
| Supertrend period=29, mult=4.5 |
19.4% | -61.1% | 0.66 | 0.32 | 6.1x | 32 | 38% |
| Donchian 채널 돌파 entryN=50, exitN=69 |
18.7% | -53.4% | 0.63 | 0.35 | 5.7x | 18 | 43% |
| MACD fast=9, slow=26, signal=12 |
8.9% | -80.6% | 0.42 | 0.11 | 2.4x | 178 | 52% |
| Buy and hold | 16.8% | -81.8% | 0.56 | 0.21 | 4.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 5-day return is greater than 11%
- Sell — Sell when the 5-day return drops to 11% or below