Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Dawning Information Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Dawning Information Industry Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 36.4%, MDD -47.6%).
Results by strategy
1 of 10 beat buy and hold (CAGR 35.5%, drawdown -71.9%).
Sharpe leader (same as main): Supertrend — CAGR 36.4%, MDD -47.6%, Sharpe 0.97, 48% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 24.3%p (CAGR 36.4%, MDD -47.6%, exposure 48%).
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=6, mult=3 |
36.4% | -47.6% | 0.97 | 0.76 | 38.0x | 64 | 48% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=10, mult=1.4 |
27.3% | -39.0% | 0.94 | 0.70 | 16.9x | 104 | 23% |
| Parabolic SAR step=0.005, maxStep=0.36 |
33.5% | -64.9% | 0.93 | 0.52 | 29.7x | 96 | 45% |
| ROC 모멘텀 n=3, threshold=0.13 |
13.7% | -47.5% | 0.80 | 0.29 | 4.5x | 120 | 4% |
| EMA 크로스오버 fast=9, slow=31 |
25.7% | -45.6% | 0.78 | 0.56 | 14.6x | 78 | 47% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
23.6% | -49.0% | 0.78 | 0.48 | 12.0x | 98 | 35% |
| ADX / DI 방향성 period=11, threshold=33 |
18.9% | -43.5% | 0.73 | 0.44 | 7.6x | 70 | 21% |
| Donchian 채널 돌파 entryN=12, exitN=25 |
20.3% | -63.3% | 0.65 | 0.32 | 8.7x | 70 | 60% |
| MACD fast=19, slow=26, signal=16 |
18.6% | -53.3% | 0.64 | 0.35 | 7.4x | 140 | 49% |
| SMA 크로스오버 fast=16, slow=65 |
6.6% | -60.9% | 0.36 | 0.11 | 2.1x | 53 | 47% |
| Buy and hold | 35.5% | -71.9% | 0.84 | 0.49 | 35.3x | 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) — 6-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)