Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tongding Interconnection Information Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Tongding Interconnection Information Co., Ltd. Class A. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 13.5%, MDD -29.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 6.8%, drawdown -91.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.5%, MDD -29.6%, Sharpe 0.78, 3% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.0%, MDD -50.4%, exposure 46%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 61.6%p (CAGR 13.5%, MDD -29.6%, exposure 3%).
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=16, threshold=0.29 |
13.5% | -29.6% | 0.78 | 0.46 | 7.4x | 34 | 3% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
16.8% | -50.5% | 0.76 | 0.33 | 11.5x | 16 | 10% |
| ADX / DI 방향성 period=13, threshold=25 |
19.6% | -59.5% | 0.74 | 0.33 | 16.7x | 116 | 28% |
| SMA 크로스오버 fast=10, slow=25 |
21.0% | -50.4% | 0.73 | 0.42 | 20.4x | 142 | 46% |
| Supertrend period=21, mult=2 |
18.9% | -51.5% | 0.69 | 0.37 | 15.3x | 174 | 43% |
| Parabolic SAR step=0.005, maxStep=0.36 |
18.4% | -53.5% | 0.68 | 0.34 | 14.3x | 114 | 41% |
| MACD fast=16, slow=31, signal=18 |
16.8% | -51.7% | 0.64 | 0.33 | 11.6x | 164 | 50% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=28, mult=2.6 |
14.5% | -54.9% | 0.60 | 0.26 | 8.5x | 58 | 24% |
| Donchian 채널 돌파 entryN=24, exitN=23 |
13.0% | -75.1% | 0.53 | 0.17 | 6.9x | 74 | 47% |
| EMA 크로스오버 fast=67, slow=190 |
10.7% | -87.1% | 0.46 | 0.12 | 5.0x | 13 | 48% |
| Buy and hold | 6.8% | -91.3% | 0.38 | 0.08 | 2.8x | 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 16-day return is greater than 29%
- Sell — Sell when the 16-day return drops to 29% or below