Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing Kingsoft Office Software. Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing Kingsoft Office Software. Inc. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.6%, MDD -43.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.9%, drawdown -67.9%).
Sharpe leader (same as main): Supertrend — CAGR 21.9%, MDD -50.5%, Sharpe 0.67, 61% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 11.6%, MDD -43.6%, exposure 35%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=11, mult=4.7 |
21.9% | -50.5% | 0.67 | 0.43 | 3.8x | 17 | 61% |
| Donchian 채널 돌파 entryN=16, exitN=17 |
20.9% | -47.5% | 0.65 | 0.44 | 3.6x | 33 | 55% |
| 볼린저 밴드 돌파 n=28, k=1.3 |
15.7% | -48.1% | 0.57 | 0.33 | 2.7x | 55 | 35% |
| EMA 크로스오버 fast=20, slow=40 |
14.8% | -50.1% | 0.54 | 0.30 | 2.5x | 29 | 47% |
| ADX / DI 방향성 period=11, threshold=25 |
11.6% | -43.6% | 0.48 | 0.27 | 2.1x | 56 | 35% |
| Parabolic SAR step=0.005, maxStep=0.32 |
11.8% | -55.8% | 0.48 | 0.21 | 2.1x | 55 | 49% |
| Keltner 채널 돌파 emaPeriod=33, atrPeriod=13, mult=1.6 |
9.7% | -43.8% | 0.44 | 0.22 | 1.9x | 42 | 30% |
| SMA 크로스오버 fast=9, slow=62 |
7.2% | -53.7% | 0.38 | 0.13 | 1.6x | 31 | 46% |
| MACD fast=20, slow=46, signal=12 |
3.5% | -51.7% | 0.29 | 0.07 | 1.3x | 73 | 47% |
| ROC 모멘텀 n=134, threshold=0.06 |
3.4% | -63.0% | 0.27 | 0.05 | 1.2x | 52 | 40% |
| Buy and hold | 11.9% | -67.9% | 0.49 | 0.18 | 2.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 11-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)