Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Vantone Neo Development Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Vantone Neo Development Group Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 7.6%, MDD -43.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.4%, drawdown -79.2%).
Sharpe leader (same as main): Supertrend — CAGR 14.7%, MDD -66.7%, Sharpe 0.57, 47% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.3%p higher than buy and hold, while drawdown improves by 12.5%p (CAGR 7.6%, MDD -43.8%, exposure 10%).
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=13, mult=3.3 |
14.7% | -66.7% | 0.57 | 0.22 | 35.0x | 128 | 47% |
| 볼린저 밴드 돌파 n=27, k=3.3 |
7.6% | -43.8% | 0.49 | 0.17 | 6.6x | 42 | 10% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=28, mult=1.8 |
10.6% | -57.2% | 0.48 | 0.19 | 13.6x | 154 | 29% |
| Parabolic SAR step=0.01, maxStep=0.32 |
8.7% | -75.0% | 0.42 | 0.12 | 8.6x | 290 | 48% |
| Donchian 채널 돌파 entryN=21, exitN=40 |
8.3% | -89.0% | 0.40 | 0.09 | 7.8x | 98 | 62% |
| MACD fast=12, slow=19, signal=17 |
8.0% | -87.7% | 0.40 | 0.09 | 7.2x | 378 | 49% |
| EMA 크로스오버 fast=16, slow=32 |
7.7% | -83.5% | 0.39 | 0.09 | 6.8x | 152 | 47% |
| ADX / DI 방향성 period=28, threshold=12 |
7.3% | -78.9% | 0.38 | 0.09 | 6.3x | 238 | 46% |
| ROC 모멘텀 n=45, threshold=0.02 |
5.3% | -90.6% | 0.33 | 0.06 | 3.8x | 362 | 44% |
| SMA 크로스오버 fast=8, slow=55 |
5.0% | -88.2% | 0.32 | 0.06 | 3.5x | 164 | 46% |
| Buy and hold | 5.4% | -79.2% | 0.36 | 0.07 | 3.9x | 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) — 13-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)