Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chaozhou Three-Circle (Group) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Chaozhou Three-Circle (Group) Co., Ltd. Class A. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 22.5%, drawdown -58.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.9%, MDD -25.8%, Sharpe 0.72, 20% exposure.
CAGR reference leader: MACD — CAGR 17.2%, MDD -51.5%, exposure 51%.
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=19, k=2.5 |
14.9% | -25.8% | 0.72 | 0.58 | 5.1x | 52 | 20% |
| MACD fast=24, slow=46, signal=19 |
17.2% | -51.5% | 0.66 | 0.33 | 6.5x | 110 | 51% |
| Donchian 채널 돌파 entryN=23, exitN=50 |
17.1% | -59.7% | 0.61 | 0.29 | 6.4x | 31 | 74% |
| Supertrend period=19, mult=2.2 |
14.0% | -52.7% | 0.57 | 0.27 | 4.7x | 107 | 52% |
| Keltner 채널 돌파 emaPeriod=25, atrPeriod=25, mult=1.9 |
11.3% | -32.1% | 0.55 | 0.35 | 3.5x | 60 | 24% |
| EMA 크로스오버 fast=6, slow=26 |
10.6% | -59.7% | 0.48 | 0.18 | 3.3x | 126 | 55% |
| ROC 모멘텀 n=19, threshold=-0.03 |
9.7% | -58.2% | 0.44 | 0.17 | 3.0x | 237 | 66% |
| Parabolic SAR step=0.015, maxStep=0.12 |
9.5% | -67.9% | 0.44 | 0.14 | 2.9x | 206 | 53% |
| ADX / DI 방향성 period=12, threshold=30 |
6.2% | -56.1% | 0.37 | 0.11 | 2.0x | 82 | 21% |
| SMA 크로스오버 fast=22, slow=217 |
6.8% | -53.1% | 0.37 | 0.13 | 2.2x | 27 | 60% |
| Buy and hold | 22.5% | -58.8% | 0.69 | 0.38 | 10.8x | 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 19-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 19-day middle average