Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Suzhou TFC Optical Communication Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Suzhou TFC Optical Communication Co., Ltd. Class A. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 49.7%, drawdown -72.4%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 35.4%, MDD -60.1%, Sharpe 0.85, 58% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=38, threshold=-0.03 |
35.4% | -60.1% | 0.85 | 0.59 | 33.0x | 153 | 58% |
| Supertrend period=7, mult=4.6 |
31.8% | -61.2% | 0.78 | 0.52 | 24.1x | 33 | 70% |
| Donchian 채널 돌파 entryN=23, exitN=75 |
31.9% | -71.1% | 0.78 | 0.45 | 24.4x | 25 | 75% |
| MACD fast=18, slow=23, signal=18 |
27.2% | -59.4% | 0.76 | 0.46 | 16.1x | 139 | 50% |
| SMA 크로스오버 fast=12, slow=64 |
25.5% | -60.2% | 0.71 | 0.42 | 13.8x | 51 | 54% |
| Parabolic SAR step=0.005, maxStep=0.3 |
24.7% | -69.9% | 0.71 | 0.35 | 12.8x | 99 | 51% |
| EMA 크로스오버 fast=25, slow=48 |
25.1% | -71.8% | 0.70 | 0.35 | 13.2x | 39 | 55% |
| 볼린저 밴드 돌파 n=19, k=2 |
20.4% | -64.4% | 0.67 | 0.32 | 8.5x | 109 | 33% |
| Keltner 채널 돌파 emaPeriod=21, atrPeriod=16, mult=2.3 |
19.4% | -59.7% | 0.66 | 0.32 | 7.7x | 63 | 24% |
| ADX / DI 방향성 period=19, threshold=14 |
18.1% | -77.0% | 0.59 | 0.23 | 6.8x | 165 | 53% |
| Buy and hold | 49.7% | -72.4% | 0.96 | 0.69 | 104.9x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 38-day return is greater than -3%
- Sell — Sell when the 38-day return drops to -3% or below