Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tongwei Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Tongwei Co. Ltd. Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 9.7%, MDD -51.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 9.5%, drawdown -84.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 14.6%, MDD -55.5%, Sharpe 0.59, 38% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.1%p higher than buy and hold, while drawdown improves by 29.0%p (CAGR 9.7%, MDD -51.9%, exposure 23%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=74, k=1.4 |
14.6% | -55.5% | 0.59 | 0.26 | 21.1x | 76 | 38% |
| Supertrend period=8, mult=3.4 |
14.1% | -60.3% | 0.55 | 0.23 | 19.3x | 116 | 57% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=3.3 |
9.7% | -51.9% | 0.49 | 0.19 | 7.9x | 54 | 23% |
| MACD fast=11, slow=13, signal=13 |
11.2% | -58.0% | 0.49 | 0.19 | 10.8x | 451 | 51% |
| ROC 모멘텀 n=55, threshold=0.04 |
11.1% | -71.7% | 0.48 | 0.16 | 10.7x | 248 | 44% |
| Donchian 채널 돌파 entryN=125, exitN=87 |
11.1% | -73.1% | 0.48 | 0.15 | 10.6x | 22 | 47% |
| EMA 크로스오버 fast=7, slow=35 |
11.2% | -70.2% | 0.48 | 0.16 | 10.8x | 190 | 52% |
| Parabolic SAR step=0.025, maxStep=0.08 |
9.9% | -60.5% | 0.45 | 0.16 | 8.3x | 381 | 51% |
| ADX / DI 방향성 period=35, threshold=19 |
8.2% | -64.4% | 0.45 | 0.13 | 5.9x | 58 | 19% |
| SMA 크로스오버 fast=47, slow=60 |
9.6% | -76.7% | 0.44 | 0.13 | 7.9x | 116 | 53% |
| Buy and hold | 9.5% | -84.5% | 0.44 | 0.11 | 7.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 74-day average (1.4× volatility)
- Sell — Sell when the close falls back to the 74-day middle average