Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Caihong Display Devices Co.,Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Caihong Display Devices Co.,Ltd. Class A. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.8%, MDD -59.4%).
Results by strategy
9 of 10 beat buy and hold (CAGR 1.9%, drawdown -88.7%).
Sharpe leader (same as main): Supertrend — CAGR 8.9%, MDD -67.9%, Sharpe 0.42, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 20.7%p (CAGR 5.8%, MDD -59.4%, exposure 25%).
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=8, mult=3.2 |
8.9% | -67.9% | 0.42 | 0.13 | 13.0x | 164 | 49% |
| SMA 크로스오버 fast=70, slow=224 |
8.8% | -80.2% | 0.42 | 0.11 | 12.7x | 35 | 47% |
| Parabolic SAR step=0.01, maxStep=0.12 |
7.0% | -76.9% | 0.37 | 0.09 | 7.7x | 370 | 49% |
| 볼린저 밴드 돌파 n=47, k=1.4 |
5.9% | -62.5% | 0.34 | 0.09 | 5.7x | 160 | 33% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=24, mult=2.7 |
5.8% | -59.4% | 0.34 | 0.10 | 5.4x | 96 | 25% |
| EMA 크로스오버 fast=58, slow=150 |
5.8% | -81.8% | 0.34 | 0.07 | 5.5x | 43 | 45% |
| Donchian 채널 돌파 entryN=108, exitN=18 |
4.0% | -64.1% | 0.28 | 0.06 | 3.3x | 66 | 20% |
| ADX / DI 방향성 period=21, threshold=13 |
3.4% | -83.9% | 0.28 | 0.04 | 2.8x | 380 | 45% |
| ROC 모멘텀 n=89, threshold=0.1 |
2.6% | -83.9% | 0.25 | 0.03 | 2.2x | 247 | 34% |
| MACD fast=18, slow=31, signal=7 |
-0.2% | -77.1% | 0.18 | -0.00 | 0.9x | 502 | 51% |
| Buy and hold | 1.9% | -88.7% | 0.29 | 0.02 | 1.8x | 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) — 8-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)