Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Rockchip Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Rockchip Electronics Co., Ltd. Class A. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 56.5%, MDD -43.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 49.3%, drawdown -76.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 29.9%, MDD -8.8%, Sharpe 1.59, 3% exposure.
CAGR reference leader: Parabolic SAR — CAGR 65.8%, MDD -45.8%, exposure 47%.
Return/drawdown alternative: Supertrend — CAGR is 19.5%p lower than buy and hold, while drawdown improves by 67.4%p (CAGR 56.5%, MDD -43.3%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=1, threshold=0.1 |
29.9% | -8.8% | 1.59 | 3.40 | 5.6x | 54 | 3% |
| Parabolic SAR step=0.02, maxStep=0.36 |
65.8% | -45.8% | 1.43 | 1.44 | 27.6x | 142 | 47% |
| Supertrend period=2, mult=2.5 |
56.5% | -43.3% | 1.22 | 1.31 | 18.9x | 56 | 60% |
| MACD fast=18, slow=26, signal=7 |
36.5% | -35.5% | 1.03 | 1.03 | 7.7x | 84 | 46% |
| ADX / DI 방향성 period=23, threshold=27 |
21.9% | -26.7% | 0.83 | 0.82 | 3.7x | 10 | 19% |
| Donchian 채널 돌파 entryN=117, exitN=6 |
16.3% | -21.3% | 0.81 | 0.77 | 2.7x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=25, mult=3 |
19.3% | -49.0% | 0.76 | 0.39 | 3.2x | 20 | 19% |
| SMA 크로스오버 fast=56, slow=150 |
19.5% | -54.6% | 0.67 | 0.36 | 3.2x | 13 | 42% |
| 볼린저 밴드 돌파 n=36, k=2.8 |
16.0% | -50.7% | 0.66 | 0.32 | 2.7x | 22 | 22% |
| EMA 크로스오버 fast=99, slow=229 |
17.9% | -58.0% | 0.63 | 0.31 | 2.9x | 3 | 47% |
| Buy and hold | 49.3% | -76.2% | 1.02 | 0.65 | 13.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than 10%
- Sell — Sell when the 1-day return drops to 10% or below