Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hundsun Technologies Inc. Class A backtest
10 trend-following strategies were compared on the full daily history of Hundsun Technologies Inc. Class A. 4 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 21.1%, MDD -48.4%).
Results by strategy
4 of 10 beat buy and hold (CAGR 17.3%, drawdown -79.9%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 27.6%, MDD -58.4%, Sharpe 0.86, 52% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 10.2%p higher than buy and hold, while drawdown improves by 21.5%p (CAGR 21.1%, MDD -48.4%, exposure 34%).
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 |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=27, slow=128 |
27.6% | -58.4% | 0.86 | 0.47 | 256.7x | 38 | 52% |
| Donchian 채널 돌파 entryN=105, exitN=29 |
21.1% | -48.4% | 0.80 | 0.44 | 78.2x | 38 | 34% |
| EMA 크로스오버 fast=56, slow=69 |
24.4% | -64.4% | 0.79 | 0.38 | 144.7x | 40 | 54% |
| ROC 모멘텀 n=107, threshold=0.01 |
22.8% | -74.6% | 0.75 | 0.31 | 107.5x | 140 | 53% |
| 볼린저 밴드 돌파 n=21, k=1.1 |
16.6% | -70.3% | 0.65 | 0.24 | 33.0x | 284 | 41% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=29, mult=3.4 |
15.2% | -46.7% | 0.64 | 0.33 | 25.3x | 58 | 27% |
| Supertrend period=26, mult=3.8 |
17.1% | -61.4% | 0.63 | 0.28 | 36.7x | 100 | 51% |
| MACD fast=17, slow=55, signal=16 |
15.1% | -66.7% | 0.59 | 0.23 | 24.5x | 238 | 50% |
| Parabolic SAR step=0.005, maxStep=0.24 |
14.8% | -65.5% | 0.58 | 0.23 | 23.5x | 178 | 50% |
| ADX / DI 방향성 period=54, threshold=8 |
15.4% | -85.4% | 0.58 | 0.18 | 26.0x | 158 | 56% |
| Buy and hold | 17.3% | -79.9% | 0.58 | 0.22 | 38.2x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 27-day average price crosses above the 128-day average
- Sell — Sell (to cash) when the 27-day average falls below the 128-day average