Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Kingfa Sci. & Tech. Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Kingfa Sci. & Tech. Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.2%, MDD -44.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 12.8%, drawdown -83.4%).
Sharpe leader (same as main): Supertrend — CAGR 23.0%, MDD -44.9%, Sharpe 0.82, 49% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 23.7%, MDD -72.6%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 38.5%p (CAGR 19.2%, MDD -44.8%, exposure 36%).
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=17, mult=4.3 |
23.0% | -44.9% | 0.82 | 0.51 | 97.2x | 66 | 49% |
| SMA 크로스오버 fast=34, slow=194 |
23.7% | -72.6% | 0.81 | 0.33 | 110.5x | 32 | 53% |
| EMA 크로스오버 fast=32, slow=66 |
23.2% | -63.4% | 0.80 | 0.37 | 100.0x | 48 | 52% |
| Donchian 채널 돌파 entryN=68, exitN=61 |
22.7% | -67.4% | 0.80 | 0.34 | 92.0x | 28 | 54% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=21, mult=2.2 |
19.2% | -44.8% | 0.77 | 0.43 | 48.6x | 84 | 36% |
| ROC 모멘텀 n=116, threshold=-0.02 |
21.7% | -68.8% | 0.75 | 0.31 | 76.1x | 148 | 57% |
| ADX / DI 방향성 period=36, threshold=11 |
19.9% | -60.2% | 0.74 | 0.33 | 55.1x | 144 | 47% |
| 볼린저 밴드 돌파 n=50, k=1.2 |
18.7% | -51.7% | 0.73 | 0.36 | 43.9x | 122 | 41% |
| MACD fast=17, slow=38, signal=9 |
7.2% | -76.9% | 0.38 | 0.09 | 4.7x | 319 | 52% |
| Parabolic SAR step=0.02, maxStep=0.36 |
6.7% | -67.6% | 0.37 | 0.10 | 4.2x | 431 | 51% |
| Buy and hold | 12.8% | -83.4% | 0.50 | 0.15 | 14.3x | 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) — 17-day volatility, 4.3× band
- Sell — Sell when price drops below the trend line (flips down)