Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangzhou Tinci Materials Technology Co., Ltd backtest
10 trend-following strategies were compared on the full daily history of Guangzhou Tinci Materials Technology Co., Ltd. 8 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 33.3%, MDD -39.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 29.1%, drawdown -84.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 35.8%, MDD -51.2%, Sharpe 1.01, 40% exposure.
CAGR reference leader: MACD — CAGR 36.6%, MDD -65.6%, exposure 53%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.8%p higher than buy and hold, while drawdown improves by 33.0%p (CAGR 33.3%, MDD -39.6%, exposure 34%).
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=30, k=1.3 |
35.8% | -51.2% | 1.01 | 0.70 | 47.4x | 96 | 40% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=13, mult=2.4 |
30.7% | -40.8% | 0.99 | 0.75 | 29.3x | 50 | 25% |
| Donchian 채널 돌파 entryN=46, exitN=20 |
33.3% | -39.6% | 0.99 | 0.84 | 37.3x | 38 | 34% |
| MACD fast=18, slow=42, signal=24 |
36.6% | -65.6% | 0.98 | 0.56 | 50.8x | 103 | 53% |
| ROC 모멘텀 n=22, threshold=0.03 |
34.9% | -51.2% | 0.96 | 0.68 | 43.4x | 198 | 45% |
| Supertrend period=26, mult=1.5 |
29.0% | -58.5% | 0.86 | 0.50 | 24.8x | 197 | 46% |
| ADX / DI 방향성 period=39, threshold=13 |
30.6% | -53.9% | 0.86 | 0.57 | 29.0x | 80 | 47% |
| EMA 크로스오버 fast=19, slow=31 |
30.5% | -58.7% | 0.86 | 0.52 | 28.5x | 68 | 50% |
| Parabolic SAR step=0.005, maxStep=0.08 |
29.4% | -73.4% | 0.84 | 0.40 | 25.8x | 102 | 50% |
| SMA 크로스오버 fast=26, slow=52 |
28.7% | -60.1% | 0.82 | 0.48 | 23.9x | 54 | 51% |
| Buy and hold | 29.1% | -84.3% | 0.75 | 0.34 | 24.9x | 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 30-day average (1.3× volatility)
- Sell — Sell when the close falls back to the 30-day middle average