Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Anker Innovations Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Anker Innovations Technology Co., Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.9%, MDD -41.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 1.8%, drawdown -74.1%).
Sharpe leader (same as main): Supertrend — CAGR 16.2%, MDD -45.0%, Sharpe 0.62, 50% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 14.5%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 7.9%, MDD -41.2%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=18, mult=2.3 |
16.2% | -45.0% | 0.62 | 0.36 | 2.5x | 41 | 50% |
| MACD fast=17, slow=50, signal=19 |
14.2% | -46.9% | 0.57 | 0.30 | 2.2x | 51 | 50% |
| 볼린저 밴드 돌파 n=36, k=1.1 |
7.9% | -41.2% | 0.41 | 0.19 | 1.6x | 43 | 45% |
| ADX / DI 방향성 period=20, threshold=7 |
7.9% | -48.7% | 0.40 | 0.16 | 1.6x | 69 | 61% |
| Parabolic SAR step=0.005, maxStep=0.24 |
7.4% | -62.8% | 0.38 | 0.12 | 1.5x | 49 | 52% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=13, mult=1.7 |
5.7% | -46.4% | 0.34 | 0.12 | 1.4x | 36 | 32% |
| Donchian 채널 돌파 entryN=33, exitN=23 |
5.4% | -45.1% | 0.33 | 0.12 | 1.4x | 23 | 43% |
| ROC 모멘텀 n=25, threshold=0.06 |
3.7% | -53.0% | 0.27 | 0.07 | 1.2x | 87 | 37% |
| EMA 크로스오버 fast=22, slow=240 |
3.3% | -41.5% | 0.26 | 0.08 | 1.2x | 13 | 45% |
| SMA 크로스오버 fast=8, slow=200 |
2.7% | -43.5% | 0.24 | 0.06 | 1.2x | 17 | 43% |
| Buy and hold | 1.8% | -74.1% | 0.28 | 0.02 | 1.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 18-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)