Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Resources Microelectronics Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Resources Microelectronics Ltd. Class A. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 7.7%, MDD -47.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.9%, drawdown -66.0%).
Sharpe leader (same as main): Supertrend — CAGR 7.7%, MDD -47.9%, Sharpe 0.39, 39% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 7.7%, MDD -63.9%, exposure 48%.
Return/drawdown alternative: Supertrend — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 7.7%, MDD -47.9%, exposure 39%).
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=27, mult=4.9 |
7.7% | -47.9% | 0.39 | 0.16 | 1.6x | 18 | 39% |
| SMA 크로스오버 fast=39, slow=73 |
7.7% | -63.9% | 0.39 | 0.12 | 1.6x | 26 | 48% |
| MACD fast=11, slow=26, signal=9 |
4.6% | -60.8% | 0.31 | 0.08 | 1.3x | 105 | 50% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=29, mult=2.3 |
4.2% | -31.2% | 0.29 | 0.13 | 1.3x | 24 | 15% |
| EMA 크로스오버 fast=53, slow=158 |
2.8% | -49.9% | 0.26 | 0.06 | 1.2x | 7 | 50% |
| ADX / DI 방향성 period=13, threshold=27 |
3.2% | -43.2% | 0.26 | 0.07 | 1.2x | 42 | 22% |
| Donchian 채널 돌파 entryN=11, exitN=45 |
1.0% | -55.8% | 0.24 | 0.02 | 1.1x | 31 | 75% |
| ROC 모멘텀 n=6, threshold=0.12 |
2.5% | -28.7% | 0.22 | 0.09 | 1.2x | 66 | 6% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-1.0% | -74.8% | 0.14 | -0.01 | 0.9x | 150 | 46% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
-0.9% | -46.7% | 0.12 | -0.02 | 0.9x | 22 | 20% |
| Buy and hold | 5.9% | -66.0% | 0.36 | 0.09 | 1.5x | 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) — 27-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)