Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Tungsten & Hightech Materials Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Tungsten & Hightech Materials Co. Ltd. Class A. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 10.5%, MDD -43.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.0%, drawdown -91.7%).
Sharpe leader (same as main): Supertrend — CAGR 14.6%, MDD -68.2%, Sharpe 0.58, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 23.5%p (CAGR 10.5%, MDD -43.3%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=2.1 |
14.6% | -68.2% | 0.58 | 0.21 | 57.9x | 293 | 53% |
| ROC 모멘텀 Hold-like · Exposure 99% n=1, threshold=-0.08 |
14.1% | -87.7% | 0.52 | 0.16 | 50.3x | 147 | 99% |
| ADX / DI 방향성 period=10, threshold=17 |
12.7% | -74.7% | 0.52 | 0.17 | 34.7x | 519 | 55% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=19, mult=3.5 |
10.5% | -43.3% | 0.51 | 0.24 | 19.6x | 60 | 28% |
| Parabolic SAR step=0.01, maxStep=0.08 |
12.0% | -66.6% | 0.51 | 0.18 | 29.3x | 303 | 54% |
| MACD fast=13, slow=41, signal=16 |
11.7% | -75.2% | 0.50 | 0.16 | 26.9x | 323 | 49% |
| SMA 크로스오버 fast=59, slow=165 |
10.8% | -71.9% | 0.47 | 0.15 | 20.9x | 47 | 47% |
| 볼린저 밴드 돌파 n=50, k=1.5 |
9.0% | -78.5% | 0.43 | 0.11 | 12.9x | 140 | 42% |
| EMA 크로스오버 fast=56, slow=171 |
8.6% | -80.6% | 0.41 | 0.11 | 11.6x | 35 | 54% |
| Donchian 채널 돌파 entryN=112, exitN=23 |
7.0% | -81.4% | 0.39 | 0.09 | 7.6x | 56 | 29% |
| Buy and hold | 8.0% | -91.7% | 0.40 | 0.09 | 9.8x | 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) — 23-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)