Trend-Following Backtester · Guide · backtest 한국어

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FSPG Hi-Tech Co., Ltd Class A backtest

10 trend-following strategies were compared on the full daily history of FSPG Hi-Tech Co., Ltd Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.2%, MDD -48.7%).

Data 2000-05-25 ~ 2026-07-31daily bars 6,461 (26.2 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

9 of 10 beat buy and hold (CAGR 3.3%, drawdown -84.2%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.6%, MDD -76.5%, Sharpe 0.44, 50% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 7.8%p (CAGR 5.2%, MDD -48.7%, exposure 7%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=167, threshold=-0.02
9.6%-76.5%0.440.1311.0x17250%
MACD
fast=18, slow=22, signal=19
8.5%-73.6%0.410.128.5x32152%
Donchian 채널 돌파
entryN=115, exitN=73
8.1%-68.6%0.410.127.7x2838%
Supertrend
period=19, mult=2.8
7.8%-70.1%0.390.117.1x18249%
EMA 크로스오버
fast=40, slow=237
7.5%-85.8%0.390.096.6x3143%
Keltner 채널 돌파
emaPeriod=15, atrPeriod=9, mult=2.8
5.2%-48.7%0.380.113.7x447%
SMA 크로스오버
fast=8, slow=250
6.6%-89.6%0.360.075.4x5445%
Parabolic SAR
step=0.01, maxStep=0.1
5.5%-63.5%0.330.094.1x31050%
볼린저 밴드 돌파
n=43, k=3.4
4.4%-64.3%0.320.073.1x3811%
ADX / DI 방향성
period=35, threshold=19
3.2%-65.6%0.250.052.3x7821%
Buy and hold3.3%-84.2%0.300.042.3x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -42% -63% -84% 2001 2005 2009 2013 2017 2021 2025 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -76.5% (2015-06-12 → 2024-10-17), recovered after 3,941 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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