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 57.6%, MDD -30.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR 39.5%, drawdown -70.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 57.6%, MDD -30.0%, Sharpe 1.18, 43% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 18.1%p higher than buy and hold, while drawdown improves by 40.3%p (CAGR 57.6%, MDD -30.0%, exposure 43%).
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 |
57.6% | -30.0% | 1.18 | 1.92 | 14.8x | 40 | 43% |
| ROC 모멘텀 n=29, threshold=0.09 |
52.8% | -36.6% | 1.12 | 1.44 | 12.3x | 66 | 38% |
| MACD fast=17, slow=36, signal=24 |
51.8% | -43.7% | 1.10 | 1.18 | 11.8x | 50 | 51% |
| Supertrend period=21, mult=1.8 |
47.6% | -36.4% | 1.07 | 1.31 | 10.0x | 66 | 47% |
| SMA 크로스오버 fast=13, slow=32 |
50.3% | -44.2% | 1.05 | 1.14 | 11.2x | 44 | 50% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=14, mult=1.6 |
45.1% | -39.1% | 1.03 | 1.15 | 9.1x | 34 | 37% |
| Donchian 채널 돌파 entryN=15, exitN=24 |
47.8% | -39.2% | 0.99 | 1.22 | 10.1x | 26 | 59% |
| ADX / DI 방향성 period=12, threshold=17 |
41.0% | -48.7% | 0.92 | 0.84 | 7.6x | 96 | 54% |
| EMA 크로스오버 fast=18, slow=20 |
38.7% | -49.8% | 0.90 | 0.78 | 6.9x | 34 | 51% |
| Parabolic SAR step=0.035, maxStep=0.2 |
27.0% | -48.0% | 0.73 | 0.56 | 4.1x | 164 | 49% |
| Buy and hold | 39.5% | -70.3% | 0.84 | 0.56 | 7.2x | 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