Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tianfeng Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Tianfeng Securities Co., Ltd. Class A. 10 beat buy-and-hold CAGR; MACD ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.8%, MDD -26.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.8%, drawdown -80.6%).
Sharpe leader (same as main): MACD — CAGR 15.5%, MDD -49.3%, Sharpe 0.62, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 20.3%p higher than buy and hold, while drawdown improves by 31.3%p (CAGR 10.8%, MDD -26.7%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| MACD fast=14, slow=27, signal=12 |
15.5% | -49.3% | 0.62 | 0.31 | 3.1x | 100 | 49% |
| Donchian 채널 돌파 entryN=68, exitN=6 |
10.8% | -26.7% | 0.60 | 0.41 | 2.2x | 16 | 9% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=14, mult=3.1 |
9.8% | -31.7% | 0.59 | 0.31 | 2.1x | 14 | 7% |
| ROC 모멘텀 n=10, threshold=0.11 |
11.2% | -35.8% | 0.58 | 0.31 | 2.3x | 64 | 9% |
| ADX / DI 방향성 period=18, threshold=31 |
10.9% | -37.5% | 0.57 | 0.29 | 2.2x | 18 | 13% |
| 볼린저 밴드 돌파 n=53, k=3.2 |
8.4% | -30.9% | 0.48 | 0.27 | 1.9x | 12 | 13% |
| Supertrend period=26, mult=2.1 |
8.6% | -64.2% | 0.43 | 0.13 | 1.9x | 76 | 37% |
| SMA 크로스오버 fast=53, slow=80 |
7.1% | -38.5% | 0.39 | 0.18 | 1.7x | 26 | 31% |
| Parabolic SAR step=0.01, maxStep=0.32 |
6.2% | -59.8% | 0.35 | 0.10 | 1.6x | 90 | 45% |
| EMA 크로스오버 fast=9, slow=25 |
3.2% | -62.3% | 0.26 | 0.05 | 1.3x | 63 | 35% |
| Buy and hold | -4.8% | -80.6% | 0.10 | -0.06 | 0.7x | 1 | 100% |
Rules of the top strategy
Looks at the gap (MACD) between a short and long average crossing its own signal line.
- Buy — Buy when the MACD line (14/27) crosses above its 12-day signal line
- Sell — Sell when the MACD line crosses back below the signal line