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. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 14.0%, MDD -56.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 13.5%, drawdown -79.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.2%, MDD -62.2%, Sharpe 0.58, 51% exposure.
Return/drawdown alternative: MACD — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 16.8%p (CAGR 14.0%, MDD -56.5%, exposure 50%).
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 |
15.2% | -62.2% | 0.58 | 0.24 | 16.4x | 139 | 51% |
| MACD fast=15, slow=42, signal=18 |
14.0% | -56.5% | 0.56 | 0.25 | 13.3x | 204 | 50% |
| Parabolic SAR step=0.015, maxStep=0.1 |
13.0% | -59.7% | 0.53 | 0.22 | 11.2x | 288 | 52% |
| Supertrend period=23, mult=1.6 |
12.3% | -55.5% | 0.52 | 0.22 | 9.9x | 292 | 49% |
| SMA 크로스오버 fast=12, slow=183 |
12.6% | -63.4% | 0.52 | 0.20 | 10.4x | 49 | 50% |
| Donchian 채널 돌파 entryN=12, exitN=76 |
13.0% | -73.1% | 0.51 | 0.18 | 11.1x | 53 | 83% |
| EMA 크로스오버 fast=53, slow=229 |
12.1% | -56.7% | 0.50 | 0.21 | 9.5x | 17 | 52% |
| 볼린저 밴드 돌파 n=21, k=1.1 |
10.3% | -57.4% | 0.47 | 0.18 | 6.9x | 242 | 40% |
| ADX / DI 방향성 period=32, threshold=13 |
9.6% | -50.3% | 0.45 | 0.19 | 6.1x | 148 | 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 | 13.5% | -79.0% | 0.51 | 0.17 | 12.0x | 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