Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Leader Harmonious Drive Systems Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Leader Harmonious Drive Systems Co., Ltd. Class A. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 56.6%, MDD -30.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 38.6%, drawdown -70.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 56.6%, MDD -30.0%, Sharpe 1.17, 42% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.0%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 56.6%, MDD -30.0%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=31, k=1 |
56.6% | -30.0% | 1.17 | 1.89 | 14.8x | 40 | 42% |
| ROC 모멘텀 n=29, threshold=0.09 |
51.8% | -36.6% | 1.11 | 1.41 | 12.3x | 66 | 37% |
| SMA 크로스오버 fast=13, slow=32 |
48.3% | -44.2% | 1.03 | 1.09 | 10.7x | 45 | 50% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=14, mult=1.6 |
44.3% | -39.1% | 1.02 | 1.13 | 9.1x | 34 | 36% |
| Supertrend period=21, mult=1.8 |
44.5% | -36.4% | 1.02 | 1.22 | 9.1x | 68 | 47% |
| MACD fast=17, slow=36, signal=24 |
45.8% | -43.7% | 1.02 | 1.05 | 9.6x | 52 | 50% |
| Donchian 채널 돌파 entryN=15, exitN=24 |
42.2% | -47.1% | 0.92 | 0.90 | 8.3x | 27 | 59% |
| ADX / DI 방향성 period=12, threshold=17 |
38.6% | -48.7% | 0.88 | 0.79 | 7.1x | 98 | 54% |
| EMA 크로스오버 fast=18, slow=20 |
33.4% | -50.0% | 0.82 | 0.67 | 5.7x | 36 | 51% |
| Parabolic SAR step=0.035, maxStep=0.2 |
27.0% | -48.0% | 0.73 | 0.56 | 4.2x | 166 | 49% |
| Buy and hold | 38.6% | -70.3% | 0.83 | 0.55 | 7.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 31-day average (1× volatility)
- Sell — Sell when the close falls back to the 31-day middle average