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 40.2%, MDD -48.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 44.6%, drawdown -74.6%).
Sharpe leader (same as main): Supertrend — CAGR 40.2%, MDD -48.9%, Sharpe 1.00, 62% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.4%p lower than buy and hold, while drawdown improves by 25.7%p (CAGR 40.2%, 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 |
40.2% | -48.9% | 1.00 | 0.82 | 18.5x | 32 | 62% |
| Donchian 채널 돌파 entryN=145, exitN=82 |
29.8% | -47.3% | 0.87 | 0.63 | 9.5x | 5 | 48% |
| SMA 크로스오버 fast=4, slow=206 |
29.9% | -49.4% | 0.85 | 0.60 | 9.5x | 17 | 55% |
| ROC 모멘텀 n=132, threshold=0.07 |
27.9% | -42.2% | 0.82 | 0.66 | 8.4x | 59 | 52% |
| EMA 크로스오버 fast=10, slow=211 |
27.5% | -53.4% | 0.81 | 0.52 | 8.2x | 17 | 55% |
| Parabolic SAR step=0.03, maxStep=0.34 |
26.4% | -61.7% | 0.81 | 0.43 | 7.6x | 236 | 52% |
| MACD fast=17, slow=38, signal=30 |
21.3% | -56.0% | 0.72 | 0.38 | 5.3x | 64 | 51% |
| 볼린저 밴드 돌파 n=35, k=1.5 |
20.3% | -46.0% | 0.72 | 0.44 | 4.9x | 60 | 39% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=14, mult=0.8 |
20.4% | -41.0% | 0.68 | 0.50 | 4.9x | 64 | 48% |
| ADX / DI 방향성 period=20, threshold=17 |
16.6% | -53.2% | 0.60 | 0.31 | 3.8x | 68 | 44% |
| Buy and hold | 44.6% | -74.6% | 0.99 | 0.60 | 24.1x | 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) — 2-day volatility, 4.2× band
- Sell — Sell when price drops below the trend line (flips down)