Trend-Following Backtester · Guide · backtest 한국어
equity · TW
ShunSin Technology Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of ShunSin Technology Holdings Ltd.. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 19.3%, MDD -42.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.7%, drawdown -71.9%).
Sharpe leader (same as main): Supertrend — CAGR 21.7%, MDD -57.0%, Sharpe 0.72, 44% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 14.9%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 19.3%, MDD -42.7%, exposure 48%).
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=20, mult=2.4 |
21.7% | -57.0% | 0.72 | 0.38 | 9.6x | 106 | 44% |
| Parabolic SAR step=0.01, maxStep=0.26 |
19.3% | -42.7% | 0.66 | 0.45 | 7.6x | 140 | 48% |
| MACD fast=10, slow=42, signal=9 |
19.1% | -67.1% | 0.65 | 0.29 | 7.5x | 190 | 48% |
| 볼린저 밴드 돌파 n=29, k=1.3 |
14.6% | -43.1% | 0.57 | 0.34 | 4.8x | 98 | 37% |
| SMA 크로스오버 fast=8, slow=24 |
11.7% | -57.5% | 0.48 | 0.20 | 3.6x | 126 | 48% |
| Donchian 채널 돌파 entryN=93, exitN=74 |
10.6% | -52.9% | 0.46 | 0.20 | 3.2x | 12 | 46% |
| ROC 모멘텀 n=123, threshold=-0.04 |
10.4% | -57.6% | 0.45 | 0.18 | 3.1x | 81 | 57% |
| ADX / DI 방향성 period=12, threshold=13 |
8.6% | -59.1% | 0.41 | 0.15 | 2.6x | 226 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=1.6 |
6.6% | -53.7% | 0.36 | 0.12 | 2.1x | 76 | 33% |
| EMA 크로스오버 fast=42, slow=124 |
2.5% | -70.7% | 0.27 | 0.04 | 1.3x | 23 | 48% |
| Buy and hold | 6.7% | -71.9% | 0.40 | 0.09 | 2.1x | 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) — 20-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)