Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Sunway Communication Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Sunway Communication Co., Ltd. Class A. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 22.9%, MDD -55.1%).
Results by strategy
3 of 10 beat buy and hold (CAGR 18.7%, drawdown -78.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.8%, MDD -24.6%, Sharpe 0.74, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 22.9%, MDD -55.1%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 4.9%p lower than buy and hold, while drawdown improves by 54.1%p (CAGR 22.9%, MDD -55.1%, exposure 54%).
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=24, k=3.2 |
13.8% | -24.6% | 0.74 | 0.56 | 7.7x | 18 | 8% |
| SMA 크로스오버 fast=38, slow=271 |
22.9% | -55.1% | 0.71 | 0.42 | 26.1x | 13 | 54% |
| EMA 크로스오버 fast=25, slow=257 |
20.9% | -65.9% | 0.68 | 0.32 | 20.1x | 15 | 53% |
| Donchian 채널 돌파 entryN=51, exitN=52 |
20.7% | -64.6% | 0.66 | 0.32 | 19.6x | 30 | 60% |
| MACD fast=19, slow=30, signal=13 |
17.9% | -73.3% | 0.63 | 0.24 | 13.6x | 199 | 51% |
| ADX / DI 방향성 period=33, threshold=16 |
15.6% | -55.9% | 0.61 | 0.28 | 9.9x | 60 | 31% |
| ROC 모멘텀 n=95, threshold=0.08 |
14.7% | -64.7% | 0.55 | 0.23 | 8.8x | 162 | 48% |
| Supertrend period=10, mult=4.5 |
13.7% | -71.6% | 0.52 | 0.19 | 7.7x | 46 | 61% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=17, mult=3.6 |
9.1% | -49.8% | 0.51 | 0.18 | 4.0x | 22 | 8% |
| Parabolic SAR step=0.01, maxStep=0.18 |
10.4% | -60.3% | 0.45 | 0.17 | 4.8x | 206 | 50% |
| Buy and hold | 18.7% | -78.7% | 0.60 | 0.24 | 15.0x | 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 24-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 24-day middle average