Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Hangzhou Lion Electronics Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Hangzhou Lion Electronics Co., Ltd. Class A. 5 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 53.8%, MDD -22.7%).

Data 2020-09-11 ~ 2026-07-31daily bars 1,425 (5.9 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

5 of 10 beat buy and hold (CAGR 41.5%, drawdown -85.1%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 58.9%, MDD -26.6%, Sharpe 1.84, 7% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 17.3%p higher than buy and hold, while drawdown improves by 58.5%p (CAGR 53.8%, MDD -22.7%, exposure 20%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=1, threshold=0.07
58.9%-26.6%1.842.2115.2x1187%
Keltner 채널 돌파
emaPeriod=15, atrPeriod=13, mult=2.4
53.8%-22.7%1.452.3712.6x2220%
Parabolic SAR
step=0.025, maxStep=0.2
57.8%-66.1%1.290.8714.6x12850%
Supertrend
period=9, mult=2
49.0%-63.5%1.180.7710.4x6048%
ADX / DI 방향성
period=7, threshold=34
40.6%-49.0%1.140.837.4x8030%
Donchian 채널 돌파
entryN=10, exitN=8
44.5%-54.8%1.110.818.7x5641%
볼린저 밴드 돌파
n=20, k=2.1
35.7%-39.7%1.040.906.0x3830%
MACD
fast=25, slow=42, signal=5
25.0%-57.5%0.780.433.7x8250%
SMA 크로스오버
fast=23, slow=27
10.9%-71.1%0.460.151.8x6448%
EMA 크로스오버
fast=51, slow=127
4.8%-64.7%0.320.071.3x741%
Buy and hold41.5%-85.1%0.910.497.7x1100%
1x 10x 2021 2022 2023 2024 2025 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -85% 2021 2022 2023 2024 2025 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -26.6% (2021-07-30 → 2023-11-08), recovered after 1,362 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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