Trend-Following Backtester · Guide · backtest 한국어
equity · CN
TCL Technology Group Corporation Class A backtest
10 trend-following strategies were compared on the full daily history of TCL Technology Group Corporation Class A. 9 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.0%, MDD -38.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.7%, drawdown -81.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 7.4%, MDD -52.1%, Sharpe 0.46, 18% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 7.7%, MDD -56.0%, exposure 68%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 5.7%p higher than buy and hold, while drawdown improves by 28.8%p (CAGR 7.0%, MDD -38.7%, exposure 14%).
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 |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=31, threshold=25 |
7.4% | -52.1% | 0.46 | 0.14 | 5.0x | 42 | 18% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
7.0% | -38.7% | 0.45 | 0.18 | 4.6x | 28 | 14% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=27, mult=2.2 |
7.3% | -56.2% | 0.41 | 0.13 | 4.9x | 82 | 31% |
| ROC 모멘텀 n=107, threshold=-0.11 |
7.7% | -56.0% | 0.39 | 0.14 | 5.4x | 181 | 68% |
| EMA 크로스오버 fast=28, slow=79 |
7.2% | -53.1% | 0.39 | 0.14 | 4.8x | 59 | 45% |
| SMA 크로스오버 fast=37, slow=46 |
6.9% | -55.9% | 0.37 | 0.12 | 4.5x | 154 | 49% |
| Donchian 채널 돌파 entryN=81, exitN=89 |
6.6% | -55.7% | 0.36 | 0.12 | 4.2x | 31 | 51% |
| Supertrend period=25, mult=4.1 |
5.9% | -58.7% | 0.35 | 0.10 | 3.7x | 88 | 48% |
| MACD fast=19, slow=55, signal=13 |
3.6% | -60.1% | 0.27 | 0.06 | 2.2x | 220 | 53% |
| Parabolic SAR step=0.005, maxStep=0.32 |
0.4% | -65.8% | 0.16 | 0.01 | 1.1x | 156 | 49% |
| Buy and hold | 1.7% | -81.0% | 0.25 | 0.02 | 1.5x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 31-day) is ≥ 25
- Sell — Sell when direction flips or the trend weakens (ADX < 25)