Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hunan Goke Microelectronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hunan Goke Microelectronics Co., Ltd. Class A. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 38.4%, MDD -49.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 36.6%, drawdown -84.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 26.0%, MDD -23.0%, Sharpe 0.98, 10% exposure.
CAGR reference leader: Supertrend — CAGR 38.4%, MDD -49.1%, exposure 45%.
Return/drawdown alternative: Supertrend — CAGR is 10.6%p lower than buy and hold, while drawdown improves by 61.0%p (CAGR 38.4%, MDD -49.1%, exposure 45%).
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=5, threshold=0.13 |
26.0% | -23.0% | 0.98 | 1.13 | 8.1x | 124 | 10% |
| Supertrend period=14, mult=1.6 |
38.4% | -49.1% | 0.95 | 0.78 | 19.0x | 124 | 45% |
| Parabolic SAR step=0.01, maxStep=0.22 |
35.5% | -52.0% | 0.90 | 0.68 | 15.6x | 110 | 45% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=1.7 |
26.1% | -39.1% | 0.84 | 0.67 | 8.2x | 60 | 19% |
| 볼린저 밴드 돌파 n=16, k=1.4 |
26.3% | -54.5% | 0.77 | 0.48 | 8.3x | 130 | 33% |
| Donchian 채널 돌파 entryN=11, exitN=32 |
27.6% | -71.8% | 0.73 | 0.38 | 9.1x | 48 | 73% |
| ADX / DI 방향성 period=34, threshold=9 |
25.4% | -60.7% | 0.70 | 0.42 | 7.8x | 68 | 66% |
| MACD fast=9, slow=30, signal=6 |
22.7% | -63.4% | 0.68 | 0.36 | 6.4x | 200 | 48% |
| EMA 크로스오버 fast=32, slow=149 |
17.2% | -68.4% | 0.58 | 0.25 | 4.2x | 11 | 59% |
| SMA 크로스오버 fast=9, slow=198 |
16.4% | -72.1% | 0.56 | 0.23 | 3.9x | 18 | 55% |
| Buy and hold | 36.6% | -84.0% | 0.82 | 0.44 | 16.8x | 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 5-day return is greater than 13%
- Sell — Sell when the 5-day return drops to 13% or below