Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sinoma Science & Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sinoma Science & Technology Co., Ltd. Class A. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 16.4%, MDD -62.2%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.6%, drawdown -79.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 16.4%, MDD -62.2%, Sharpe 0.60, 51% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 16.4%, MDD -62.2%, exposure 51%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=140, threshold=0.03 |
16.4% | -62.2% | 0.60 | 0.26 | 20.2x | 139 | 51% |
| MACD fast=15, slow=42, signal=18 |
13.7% | -56.5% | 0.55 | 0.24 | 12.7x | 205 | 50% |
| EMA 크로스오버 fast=53, slow=229 |
13.2% | -58.7% | 0.53 | 0.23 | 11.7x | 17 | 52% |
| Parabolic SAR step=0.015, maxStep=0.1 |
12.2% | -59.7% | 0.51 | 0.20 | 9.7x | 290 | 52% |
| Supertrend period=23, mult=1.6 |
12.0% | -55.5% | 0.51 | 0.22 | 9.4x | 294 | 49% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
12.1% | -73.1% | 0.49 | 0.17 | 9.6x | 55 | 83% |
| SMA 크로스오버 fast=12, slow=183 |
11.5% | -66.6% | 0.49 | 0.17 | 8.6x | 51 | 51% |
| 볼린저 밴드 돌파 n=21, k=1.1 |
9.1% | -57.4% | 0.44 | 0.16 | 5.6x | 244 | 40% |
| ADX / DI 방향성 period=32, threshold=13 |
9.2% | -50.3% | 0.44 | 0.18 | 5.7x | 150 | 43% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=23, mult=2.4 |
5.9% | -50.9% | 0.36 | 0.12 | 3.1x | 96 | 24% |
| Buy and hold | 14.6% | -79.0% | 0.53 | 0.19 | 14.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 140-day return is greater than 3%
- Sell — Sell when the 140-day return drops to 3% or below