Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Estun Automation Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Estun Automation Co. Ltd. Class A. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 35.3%, MDD -45.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 29.0%, drawdown -72.7%).
Sharpe leader (same as main): Supertrend — CAGR 35.3%, MDD -45.0%, Sharpe 0.99, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 35.3%, MDD -45.0%, exposure 52%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=2.6 |
35.3% | -45.0% | 0.99 | 0.79 | 31.2x | 86 | 52% |
| Parabolic SAR step=0.01, maxStep=0.22 |
29.9% | -50.6% | 0.87 | 0.59 | 19.5x | 146 | 52% |
| 볼린저 밴드 돌파 n=30, k=1.1 |
22.4% | -30.2% | 0.76 | 0.74 | 10.0x | 92 | 41% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=15, mult=1.4 |
20.4% | -34.5% | 0.75 | 0.59 | 8.3x | 108 | 33% |
| EMA 크로스오버 fast=12, slow=22 |
22.4% | -42.5% | 0.73 | 0.53 | 10.0x | 80 | 51% |
| SMA 크로스오버 fast=14, slow=31 |
19.5% | -57.0% | 0.66 | 0.34 | 7.6x | 86 | 51% |
| Donchian 채널 돌파 entryN=11, exitN=8 |
18.7% | -48.7% | 0.65 | 0.38 | 7.0x | 128 | 48% |
| ADX / DI 방향성 period=15, threshold=17 |
16.8% | -49.2% | 0.61 | 0.34 | 5.8x | 154 | 46% |
| ROC 모멘텀 n=17, threshold=0.02 |
13.8% | -53.2% | 0.54 | 0.26 | 4.4x | 270 | 46% |
| MACD fast=14, slow=41, signal=12 |
12.2% | -59.8% | 0.50 | 0.20 | 3.7x | 148 | 51% |
| Buy and hold | 29.0% | -72.7% | 0.75 | 0.40 | 18.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)