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 ADX / DI 방향성 (CAGR 11.6%, MDD -39.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.5%, drawdown -79.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 21.4%, MDD -39.8%, Sharpe 0.71, 39% exposure.
CAGR reference leader: MACD — CAGR 21.9%, MDD -58.3%, exposure 53%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 19.9%p higher than buy and hold, while drawdown improves by 39.8%p (CAGR 11.6%, MDD -39.5%, exposure 28%).
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 |
21.4% | -39.8% | 0.71 | 0.54 | 3.8x | 29 | 39% |
| Supertrend period=13, mult=2.6 |
20.8% | -56.0% | 0.68 | 0.37 | 3.6x | 43 | 51% |
| MACD fast=19, slow=30, signal=14 |
21.9% | -58.3% | 0.68 | 0.37 | 3.9x | 73 | 53% |
| Parabolic SAR step=0.005, maxStep=0.22 |
17.3% | -51.4% | 0.60 | 0.34 | 3.0x | 55 | 47% |
| SMA 크로스오버 fast=20, slow=159 |
15.0% | -56.4% | 0.56 | 0.27 | 2.6x | 13 | 43% |
| 볼린저 밴드 돌파 n=53, k=1.1 |
14.8% | -52.4% | 0.55 | 0.28 | 2.6x | 37 | 40% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=21, mult=1.2 |
13.8% | -42.3% | 0.53 | 0.33 | 2.4x | 35 | 41% |
| Donchian 채널 돌파 entryN=57, exitN=60 |
13.2% | -65.9% | 0.51 | 0.20 | 2.3x | 11 | 52% |
| ADX / DI 방향성 period=24, threshold=23 |
11.6% | -39.5% | 0.49 | 0.29 | 2.1x | 27 | 28% |
| EMA 크로스오버 fast=33, slow=169 |
11.0% | -56.4% | 0.47 | 0.19 | 2.0x | 10 | 41% |
| Buy and hold | 1.5% | -79.5% | 0.32 | 0.02 | 1.1x | 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