Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shennan Circuit Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shennan Circuit Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 39.8%, MDD -48.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 47.1%, drawdown -74.6%).
Sharpe leader (same as main): Supertrend — CAGR 39.8%, MDD -48.9%, Sharpe 0.99, 62% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.3%p lower than buy and hold, while drawdown improves by 25.7%p (CAGR 39.8%, MDD -48.9%, exposure 62%).
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=2, mult=4.2 |
39.8% | -48.9% | 0.99 | 0.81 | 18.5x | 32 | 62% |
| Donchian 채널 돌파 entryN=145, exitN=82 |
32.1% | -47.3% | 0.91 | 0.68 | 11.3x | 5 | 48% |
| SMA 크로스오버 fast=4, slow=206 |
32.3% | -49.4% | 0.90 | 0.65 | 11.4x | 17 | 56% |
| ROC 모멘텀 n=132, threshold=0.07 |
30.3% | -42.2% | 0.86 | 0.72 | 10.0x | 59 | 53% |
| EMA 크로스오버 fast=10, slow=211 |
29.9% | -53.4% | 0.85 | 0.56 | 9.8x | 17 | 55% |
| Parabolic SAR step=0.03, maxStep=0.34 |
26.0% | -61.7% | 0.80 | 0.42 | 7.5x | 239 | 52% |
| 볼린저 밴드 돌파 n=35, k=1.5 |
20.1% | -46.0% | 0.71 | 0.44 | 4.9x | 60 | 38% |
| MACD fast=17, slow=38, signal=30 |
19.1% | -56.0% | 0.67 | 0.34 | 4.6x | 66 | 51% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=14, mult=0.8 |
18.2% | -41.0% | 0.63 | 0.44 | 4.3x | 66 | 48% |
| ADX / DI 방향성 period=20, threshold=17 |
14.9% | -53.2% | 0.56 | 0.28 | 3.3x | 70 | 44% |
| Buy and hold | 47.1% | -74.6% | 1.02 | 0.63 | 28.9x | 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) — 2-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)