Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Orient Securities Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Orient Securities Company Limited Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 7.5%, MDD -14.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR -4.2%, drawdown -81.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 7.5%, MDD -14.3%, Sharpe 0.67, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 67.6%p (CAGR 7.5%, MDD -14.3%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=1, threshold=0.07 |
7.5% | -14.3% | 0.67 | 0.53 | 2.3x | 86 | 2% |
| 볼린저 밴드 돌파 n=22, k=2.2 |
6.9% | -38.3% | 0.43 | 0.18 | 2.2x | 60 | 19% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=17, mult=2.8 |
3.8% | -18.2% | 0.41 | 0.21 | 1.5x | 16 | 3% |
| Donchian 채널 돌파 entryN=28, exitN=9 |
6.0% | -30.4% | 0.39 | 0.20 | 2.0x | 48 | 18% |
| ADX / DI 방향성 period=12, threshold=25 |
3.7% | -40.9% | 0.27 | 0.09 | 1.5x | 98 | 30% |
| Parabolic SAR step=0.01, maxStep=0.12 |
1.4% | -65.7% | 0.19 | 0.02 | 1.2x | 134 | 44% |
| SMA 크로스오버 fast=7, slow=37 |
-1.5% | -64.3% | 0.08 | -0.02 | 0.8x | 96 | 39% |
| Supertrend period=26, mult=3.2 |
-2.3% | -50.2% | 0.02 | -0.05 | 0.8x | 64 | 33% |
| MACD fast=17, slow=44, signal=15 |
-2.9% | -61.9% | 0.02 | -0.05 | 0.7x | 118 | 50% |
| EMA 크로스오버 fast=20, slow=92 |
-5.3% | -67.4% | -0.11 | -0.08 | 0.5x | 30 | 32% |
| Buy and hold | -4.2% | -81.9% | 0.08 | -0.05 | 0.6x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than 7%
- Sell — Sell when the 1-day return drops to 7% or below