Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sunwoda Electronic Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sunwoda Electronic Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 11.7%, MDD -51.5%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.6%, drawdown -78.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.9%, MDD -65.0%, Sharpe 0.52, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.3%p higher than buy and hold, while drawdown improves by 13.6%p (CAGR 11.7%, MDD -51.5%, exposure 55%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=18, exitN=48 |
13.9% | -65.0% | 0.52 | 0.21 | 7.4x | 51 | 70% |
| EMA 크로스오버 fast=56, slow=198 |
11.7% | -51.5% | 0.48 | 0.23 | 5.5x | 16 | 55% |
| 볼린저 밴드 돌파 n=61, k=2.7 |
9.4% | -42.6% | 0.45 | 0.22 | 4.0x | 32 | 26% |
| Supertrend period=5, mult=3.8 |
9.3% | -72.4% | 0.43 | 0.13 | 3.9x | 63 | 62% |
| SMA 크로스오버 fast=55, slow=187 |
7.9% | -50.3% | 0.40 | 0.16 | 3.2x | 34 | 51% |
| ROC 모멘텀 n=145, threshold=0.02 |
7.6% | -60.0% | 0.39 | 0.13 | 3.1x | 118 | 54% |
| MACD fast=12, slow=18, signal=13 |
5.5% | -69.2% | 0.33 | 0.08 | 2.3x | 256 | 50% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=17, mult=3.4 |
4.9% | -47.2% | 0.32 | 0.10 | 2.1x | 34 | 22% |
| ADX / DI 방향성 period=12, threshold=14 |
4.0% | -58.4% | 0.30 | 0.07 | 1.8x | 303 | 50% |
| Parabolic SAR step=0.025, maxStep=0.18 |
-0.3% | -76.4% | 0.18 | -0.00 | 1.0x | 350 | 49% |
| Buy and hold | 11.6% | -78.6% | 0.48 | 0.15 | 5.4x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 18 days
- Sell — Sell when price breaks below the lowest low of the last 48 days