Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing GeoEnviron Engineering & Technology, Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing GeoEnviron Engineering & Technology, Inc. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.8%, MDD -44.1%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.7%, drawdown -77.0%).
Sharpe leader (same as main): Supertrend — CAGR 19.3%, MDD -50.4%, Sharpe 0.76, 47% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 7.6%p higher than buy and hold, while drawdown improves by 26.6%p (CAGR 11.8%, MDD -44.1%, exposure 52%).
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=30, mult=1.4 |
19.3% | -50.4% | 0.76 | 0.38 | 7.8x | 187 | 47% |
| Parabolic SAR step=0.02, maxStep=0.06 |
18.6% | -54.2% | 0.72 | 0.34 | 7.3x | 147 | 48% |
| 볼린저 밴드 돌파 n=15, k=1.1 |
12.1% | -48.7% | 0.56 | 0.25 | 3.8x | 169 | 38% |
| ROC 모멘텀 n=147, threshold=-0.04 |
11.8% | -44.1% | 0.52 | 0.27 | 3.7x | 77 | 52% |
| ADX / DI 방향성 period=29, threshold=33 |
6.0% | -31.3% | 0.51 | 0.19 | 2.0x | 6 | 5% |
| SMA 크로스오버 fast=7, slow=27 |
11.1% | -57.3% | 0.50 | 0.19 | 3.4x | 103 | 49% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=21, mult=1.2 |
8.7% | -52.0% | 0.46 | 0.17 | 2.7x | 99 | 33% |
| MACD fast=6, slow=57, signal=17 |
9.1% | -55.2% | 0.45 | 0.17 | 2.8x | 165 | 52% |
| EMA 크로스오버 fast=59, slow=173 |
7.0% | -71.4% | 0.38 | 0.10 | 2.2x | 17 | 45% |
| Donchian 채널 돌파 entryN=11, exitN=59 |
3.1% | -83.7% | 0.28 | 0.04 | 1.4x | 37 | 83% |
| Buy and hold | 11.7% | -77.0% | 0.48 | 0.15 | 3.6x | 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) — 30-day volatility, 1.4× band
- Sell — Sell when price drops below the trend line (flips down)