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. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 13.9%, MDD -45.5%).
Results by strategy
6 of 10 beat buy and hold (CAGR 6.4%, drawdown -73.1%).
Sharpe leader (same as main): Supertrend — CAGR 13.9%, MDD -45.5%, Sharpe 0.56, 58% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.5%p higher than buy and hold, while drawdown improves by 27.7%p (CAGR 13.9%, MDD -45.5%, exposure 58%).
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 |
13.9% | -45.5% | 0.56 | 0.31 | 7.3x | 75 | 58% |
| Donchian 채널 돌파 entryN=16, exitN=42 |
11.1% | -63.4% | 0.48 | 0.18 | 5.0x | 53 | 74% |
| MACD fast=14, slow=52, signal=19 |
9.2% | -51.3% | 0.44 | 0.18 | 3.8x | 163 | 53% |
| Parabolic SAR step=0.01, maxStep=0.26 |
8.4% | -48.7% | 0.42 | 0.17 | 3.5x | 191 | 50% |
| 볼린저 밴드 돌파 n=55, k=3.3 |
6.0% | -40.5% | 0.40 | 0.15 | 2.4x | 18 | 14% |
| EMA 크로스오버 fast=48, slow=139 |
7.6% | -64.3% | 0.39 | 0.12 | 3.1x | 23 | 43% |
| SMA 크로스오버 fast=14, slow=155 |
7.3% | -57.4% | 0.39 | 0.13 | 3.0x | 43 | 47% |
| ROC 모멘텀 n=141, threshold=0.11 |
6.2% | -69.8% | 0.36 | 0.09 | 2.5x | 95 | 32% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=29, mult=4 |
4.5% | -41.1% | 0.33 | 0.11 | 2.0x | 24 | 13% |
| ADX / DI 방향성 period=29, threshold=16 |
3.7% | -56.0% | 0.27 | 0.07 | 1.7x | 104 | 33% |
| Buy and hold | 6.4% | -73.1% | 0.37 | 0.09 | 2.6x | 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)