Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tongkun Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Tongkun Group Co., Ltd. Class A. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.0%, MDD -40.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.0%, drawdown -73.1%).
Sharpe leader (same as main): Supertrend — CAGR 12.4%, MDD -45.5%, Sharpe 0.52, 58% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 6.0%, MDD -40.5%, exposure 14%).
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=9, mult=3.3 |
12.4% | -45.5% | 0.52 | 0.27 | 5.9x | 75 | 58% |
| Donchian 채널 돌파 entryN=16, exitN=42 |
9.7% | -63.4% | 0.44 | 0.15 | 4.1x | 53 | 74% |
| MACD fast=14, slow=52, signal=19 |
7.8% | -51.3% | 0.40 | 0.15 | 3.1x | 162 | 53% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
6.0% | -40.5% | 0.40 | 0.15 | 2.4x | 18 | 14% |
| Parabolic SAR step=0.01, maxStep=0.26 |
7.0% | -48.7% | 0.38 | 0.14 | 2.8x | 190 | 50% |
| EMA 크로스오버 fast=48, slow=139 |
6.2% | -64.3% | 0.35 | 0.10 | 2.5x | 23 | 42% |
| SMA 크로스오버 fast=14, slow=155 |
5.9% | -57.4% | 0.34 | 0.10 | 2.4x | 43 | 47% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=29, mult=4 |
4.5% | -41.1% | 0.33 | 0.11 | 2.0x | 24 | 13% |
| ROC 모멘텀 n=141, threshold=0.11 |
4.8% | -69.8% | 0.31 | 0.07 | 2.0x | 95 | 32% |
| ADX / DI 방향성 period=29, threshold=16 |
3.7% | -56.0% | 0.27 | 0.07 | 1.7x | 104 | 33% |
| Buy and hold | 5.0% | -73.1% | 0.34 | 0.07 | 2.1x | 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) — 9-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)