Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Transsion Holdings Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Transsion Holdings Co., Ltd. Class A. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.8%, MDD -44.0%).
Results by strategy
10 of 10 beat buy and hold (CAGR -0.2%, drawdown -79.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 18.6%, MDD -44.6%, Sharpe 0.64, 38% exposure.
CAGR reference leader: MACD — CAGR 19.6%, MDD -58.3%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.8%p higher than buy and hold, while drawdown improves by 34.9%p (CAGR 11.8%, MDD -44.0%, exposure 41%).
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=119, threshold=0.07 |
18.6% | -44.6% | 0.64 | 0.42 | 3.2x | 32 | 38% |
| MACD fast=19, slow=30, signal=14 |
19.6% | -58.3% | 0.63 | 0.34 | 3.4x | 74 | 53% |
| Supertrend period=13, mult=2.6 |
18.6% | -56.0% | 0.63 | 0.33 | 3.2x | 44 | 50% |
| Parabolic SAR step=0.005, maxStep=0.22 |
15.2% | -52.5% | 0.56 | 0.29 | 2.7x | 56 | 47% |
| SMA 크로스오버 fast=20, slow=159 |
12.7% | -60.0% | 0.51 | 0.21 | 2.3x | 14 | 43% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
12.7% | -54.3% | 0.51 | 0.23 | 2.3x | 38 | 40% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=21, mult=1.2 |
11.8% | -44.0% | 0.48 | 0.27 | 2.2x | 36 | 41% |
| Donchian 채널 돌파 entryN=57, exitN=60 |
11.1% | -65.9% | 0.47 | 0.17 | 2.1x | 11 | 52% |
| EMA 크로스오버 fast=33, slow=169 |
10.8% | -56.4% | 0.47 | 0.19 | 2.0x | 10 | 40% |
| ADX / DI 방향성 period=24, threshold=23 |
9.4% | -46.9% | 0.44 | 0.20 | 1.9x | 28 | 28% |
| Buy and hold | -0.2% | -79.5% | 0.29 | -0.00 | 1.0x | 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 119-day return is greater than 7%
- Sell — Sell when the 119-day return drops to 7% or below