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.. 7 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 19.7%, MDD -42.7%).
Results by strategy
7 of 10 beat buy and hold (CAGR 9.4%, drawdown -71.9%).
Sharpe leader (same as main): Supertrend — CAGR 21.5%, MDD -57.0%, Sharpe 0.71, 44% exposure.
Return/drawdown alternative: Parabolic SAR — CAGR is 12.1%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 19.7%, MDD -42.7%, exposure 49%).
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 |
21.5% | -57.0% | 0.71 | 0.38 | 9.6x | 107 | 44% |
| Parabolic SAR step=0.01, maxStep=0.26 |
19.7% | -42.7% | 0.66 | 0.46 | 8.1x | 141 | 49% |
| MACD fast=10, slow=42, signal=9 |
19.0% | -67.1% | 0.65 | 0.28 | 7.5x | 191 | 49% |
| 볼린저 밴드 돌파 n=29, k=1.3 |
14.5% | -43.1% | 0.56 | 0.34 | 4.8x | 98 | 37% |
| ROC 모멘텀 n=123, threshold=-0.04 |
13.2% | -57.6% | 0.51 | 0.23 | 4.2x | 81 | 57% |
| SMA 크로스오버 fast=8, slow=24 |
12.0% | -57.5% | 0.49 | 0.21 | 3.7x | 127 | 48% |
| Donchian 채널 돌파 entryN=93, exitN=74 |
10.5% | -52.9% | 0.46 | 0.20 | 3.2x | 12 | 46% |
| ADX / DI 방향성 period=12, threshold=13 |
6.3% | -59.1% | 0.36 | 0.11 | 2.0x | 232 | 54% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=22, mult=1.6 |
6.5% | -53.7% | 0.36 | 0.12 | 2.1x | 76 | 33% |
| EMA 크로스오버 fast=42, slow=124 |
5.1% | -70.7% | 0.33 | 0.07 | 1.8x | 23 | 48% |
| Buy and hold | 9.4% | -71.9% | 0.45 | 0.13 | 2.8x | 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)