Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Precision Tsugami (China) Corp. Ltd. backtest
10 trend-following strategies were compared on the full daily history of Precision Tsugami (China) Corp. Ltd.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 23.6%, MDD -47.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 26.6%, drawdown -60.3%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 23.1%, MDD -47.5%, Sharpe 0.75, 54% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 23.6%, MDD -47.5%, exposure 88%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.5%p lower than buy and hold, while drawdown improves by 12.7%p (CAGR 23.6%, MDD -47.5%, exposure 88%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=58, slow=219 |
23.1% | -47.5% | 0.75 | 0.49 | 6.4x | 9 | 54% |
| EMA 크로스오버 fast=59, slow=199 |
22.1% | -47.5% | 0.73 | 0.46 | 5.9x | 9 | 51% |
| Donchian 채널 돌파 entryN=12, exitN=61 |
23.6% | -47.5% | 0.71 | 0.50 | 6.6x | 17 | 88% |
| ROC 모멘텀 n=199, threshold=0.06 |
19.3% | -47.5% | 0.67 | 0.41 | 4.8x | 37 | 48% |
| Parabolic SAR step=0.01, maxStep=0.16 |
18.4% | -53.1% | 0.67 | 0.35 | 4.5x | 102 | 53% |
| 볼린저 밴드 돌파 n=24, k=2 |
15.7% | -46.9% | 0.64 | 0.34 | 3.7x | 68 | 31% |
| Supertrend period=21, mult=2.7 |
17.5% | -41.0% | 0.63 | 0.43 | 4.2x | 82 | 54% |
| MACD fast=18, slow=50, signal=16 |
15.4% | -58.6% | 0.60 | 0.26 | 3.6x | 94 | 48% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=18, mult=1.6 |
6.9% | -68.5% | 0.37 | 0.10 | 1.8x | 86 | 31% |
| ADX / DI 방향성 period=6, threshold=32 |
5.7% | -60.4% | 0.33 | 0.09 | 1.6x | 174 | 30% |
| Buy and hold | 26.6% | -60.3% | 0.74 | 0.44 | 8.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 58-day average price crosses above the 219-day average
- Sell — Sell (to cash) when the 58-day average falls below the 219-day average