Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Sunlord Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Sunlord Electronics 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 ROC 모멘텀 (CAGR 11.1%, MDD -62.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.3%, drawdown -81.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.1%, MDD -62.8%, Sharpe 0.47, 76% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 11.1%, MDD -62.8%, exposure 76%).
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=165, threshold=-0.1 |
11.1% | -62.8% | 0.47 | 0.18 | 7.6x | 89 | 76% |
| Donchian 채널 돌파 entryN=21, exitN=81 |
10.6% | -65.3% | 0.46 | 0.16 | 6.9x | 41 | 78% |
| SMA 크로스오버 fast=39, slow=223 |
7.8% | -64.3% | 0.39 | 0.12 | 4.2x | 29 | 62% |
| EMA 크로스오버 fast=12, slow=29 |
6.7% | -54.2% | 0.37 | 0.12 | 3.5x | 138 | 54% |
| Supertrend period=27, mult=2.8 |
5.0% | -52.5% | 0.32 | 0.09 | 2.5x | 137 | 53% |
| 볼린저 밴드 돌파 n=26, k=2.8 |
3.8% | -38.1% | 0.30 | 0.10 | 2.1x | 36 | 10% |
| MACD fast=19, slow=46, signal=18 |
3.7% | -76.4% | 0.28 | 0.05 | 2.0x | 195 | 51% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=13, mult=3.1 |
1.3% | -39.0% | 0.17 | 0.03 | 1.3x | 18 | 3% |
| Parabolic SAR step=0.005, maxStep=0.34 |
-1.1% | -69.9% | 0.13 | -0.02 | 0.8x | 163 | 52% |
| ADX / DI 방향성 period=38, threshold=11 |
-1.2% | -72.8% | 0.11 | -0.02 | 0.8x | 133 | 38% |
| Buy and hold | 10.3% | -81.5% | 0.45 | 0.13 | 6.5x | 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 165-day return is greater than -10%
- Sell — Sell when the 165-day return drops to -10% or below