Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sensteed Hi-Tech Group Class A backtest
10 trend-following strategies were compared on the full daily history of Sensteed Hi-Tech Group Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.4%, MDD -32.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.6%, drawdown -92.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.1%, MDD -39.1%, Sharpe 0.53, 40% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.4%, MDD -32.9%, exposure 41%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 16.7%p higher than buy and hold, while drawdown improves by 53.0%p (CAGR 12.4%, MDD -32.9%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=47, k=2.3 |
12.1% | -39.1% | 0.53 | 0.31 | 19.8x | 44 | 40% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=27, mult=0.8 |
12.0% | -55.7% | 0.51 | 0.22 | 19.6x | 230 | 43% |
| ADX / DI 방향성 period=9, threshold=31 |
10.8% | -72.9% | 0.48 | 0.15 | 14.8x | 178 | 42% |
| Donchian 채널 돌파 entryN=96, exitN=11 |
12.4% | -32.9% | 0.47 | 0.38 | 21.2x | 36 | 41% |
| MACD fast=22, slow=54, signal=14 |
10.9% | -82.2% | 0.44 | 0.13 | 15.1x | 151 | 41% |
| Supertrend period=15, mult=1.7 |
9.8% | -66.7% | 0.44 | 0.15 | 11.6x | 222 | 50% |
| ROC 모멘텀 n=30, threshold=0.09 |
6.2% | -52.0% | 0.38 | 0.12 | 4.8x | 167 | 16% |
| Parabolic SAR step=0.01, maxStep=0.32 |
6.5% | -66.9% | 0.35 | 0.10 | 5.2x | 198 | 54% |
| SMA 크로스오버 fast=14, slow=23 |
3.5% | -79.0% | 0.27 | 0.04 | 2.5x | 194 | 28% |
| EMA 크로스오버 fast=59, slow=164 |
3.7% | -80.4% | 0.25 | 0.05 | 2.6x | 20 | 56% |
| Buy and hold | -4.6% | -92.1% | 0.11 | -0.05 | 0.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 47-day average (2.3× volatility)
- Sell — Sell when the close falls back to the 47-day middle average