Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hongfa Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hongfa Technology Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 11.9%, drawdown -79.7%).
Sharpe leader (same as main): Supertrend — CAGR 13.4%, MDD -67.5%, Sharpe 0.53, 57% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=3.6 |
13.4% | -67.5% | 0.53 | 0.20 | 46.8x | 119 | 57% |
| ROC 모멘텀 Hold-like · Exposure 100% n=1, threshold=-0.12 |
12.9% | -79.7% | 0.50 | 0.16 | 40.8x | 5 | 100% |
| Donchian 채널 돌파 entryN=13, exitN=26 |
8.9% | -72.1% | 0.42 | 0.12 | 13.6x | 163 | 67% |
| MACD fast=25, slow=41, signal=31 |
7.8% | -72.1% | 0.40 | 0.11 | 9.9x | 246 | 50% |
| SMA 크로스오버 fast=56, slow=198 |
7.0% | -73.6% | 0.37 | 0.09 | 7.9x | 53 | 60% |
| 볼린저 밴드 돌파 n=55, k=0.8 |
6.2% | -67.0% | 0.35 | 0.09 | 6.3x | 204 | 47% |
| Parabolic SAR step=0.015, maxStep=0.2 |
4.9% | -70.4% | 0.31 | 0.07 | 4.4x | 506 | 52% |
| EMA 크로스오버 fast=59, slow=197 |
3.8% | -87.0% | 0.29 | 0.04 | 3.2x | 37 | 59% |
| ADX / DI 방향성 period=16, threshold=11 |
2.0% | -75.7% | 0.24 | 0.03 | 1.8x | 520 | 56% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=2.2 |
0.9% | -61.0% | 0.19 | 0.02 | 1.3x | 148 | 35% |
| Buy and hold | 11.9% | -79.7% | 0.48 | 0.15 | 31.3x | 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, 3.6× band
- Sell — Sell when price drops below the trend line (flips down)