Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanxi Lu'An Environmental Energy Development Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanxi Lu'An Environmental Energy Development Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.0%, MDD -52.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.4%, drawdown -81.5%).
Sharpe leader (same as main): Supertrend — CAGR 20.0%, MDD -52.9%, Sharpe 0.69, 55% exposure.
Return/drawdown alternative: Supertrend — CAGR is 11.6%p higher than buy and hold, while drawdown improves by 28.6%p (CAGR 20.0%, MDD -52.9%, exposure 55%).
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=13, mult=4.8 |
20.0% | -52.9% | 0.69 | 0.38 | 37.2x | 50 | 55% |
| 볼린저 밴드 돌파 n=36, k=1.3 |
16.2% | -68.7% | 0.63 | 0.24 | 19.5x | 142 | 39% |
| Donchian 채널 돌파 entryN=32, exitN=59 |
16.9% | -60.0% | 0.60 | 0.28 | 22.1x | 45 | 63% |
| EMA 크로스오버 fast=18, slow=34 |
15.0% | -56.6% | 0.58 | 0.26 | 16.0x | 96 | 50% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=17, mult=1.2 |
13.1% | -65.1% | 0.56 | 0.20 | 11.6x | 168 | 36% |
| ROC 모멘텀 n=41, threshold=0 |
11.2% | -65.7% | 0.48 | 0.17 | 8.3x | 240 | 50% |
| Parabolic SAR step=0.005, maxStep=0.2 |
10.6% | -73.7% | 0.47 | 0.14 | 7.4x | 156 | 48% |
| SMA 크로스오버 fast=25, slow=92 |
10.8% | -71.0% | 0.47 | 0.15 | 7.6x | 64 | 49% |
| ADX / DI 방향성 period=31, threshold=12 |
10.2% | -69.9% | 0.46 | 0.15 | 6.8x | 164 | 49% |
| MACD fast=18, slow=55, signal=21 |
8.9% | -73.5% | 0.42 | 0.12 | 5.4x | 174 | 53% |
| Buy and hold | 8.4% | -81.5% | 0.41 | 0.10 | 4.9x | 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) — 13-day volatility, 4.8× band
- Sell — Sell when price drops below the trend line (flips down)