Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tsingtao Brewery Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Tsingtao Brewery Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 4.8%, MDD -50.3%).
Results by strategy
1 of 10 beat buy and hold (CAGR 4.4%, drawdown -78.1%).
Sharpe leader (same as main): Supertrend — CAGR 4.8%, MDD -50.3%, Sharpe 0.30, 52% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 4.8%, MDD -50.3%, exposure 52%).
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=11, mult=3.2 |
4.8% | -50.3% | 0.30 | 0.10 | 4.8x | 170 | 52% |
| Donchian 채널 돌파 entryN=45, exitN=66 |
4.4% | -62.6% | 0.29 | 0.07 | 4.1x | 64 | 62% |
| EMA 크로스오버 fast=50, slow=168 |
4.3% | -56.5% | 0.29 | 0.08 | 4.0x | 52 | 54% |
| Parabolic SAR step=0.01, maxStep=0.06 |
4.2% | -59.6% | 0.28 | 0.07 | 3.9x | 366 | 48% |
| ROC 모멘텀 Hold-like · Exposure 97% n=5, threshold=-0.09 |
2.4% | -71.9% | 0.25 | 0.03 | 2.2x | 215 | 97% |
| SMA 크로스오버 fast=28, slow=138 |
3.1% | -68.7% | 0.25 | 0.05 | 2.8x | 86 | 54% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=27, mult=3.6 |
2.3% | -41.1% | 0.21 | 0.06 | 2.1x | 48 | 7% |
| 볼린저 밴드 돌파 n=56, k=1.2 |
1.1% | -65.7% | 0.17 | 0.02 | 1.4x | 196 | 40% |
| ADX / DI 방향성 period=34, threshold=15 |
1.1% | -60.9% | 0.17 | 0.02 | 1.4x | 166 | 32% |
| MACD fast=17, slow=32, signal=16 |
-1.0% | -64.8% | 0.11 | -0.01 | 0.7x | 423 | 50% |
| Buy and hold | 4.4% | -78.1% | 0.30 | 0.06 | 4.2x | 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) — 11-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)