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 10.6%, MDD -26.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.2%, drawdown -80.6%).
Sharpe leader (same as main): MACD — CAGR 14.7%, MDD -48.6%, Sharpe 0.60, 49% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 19.9%p higher than buy and hold, while drawdown improves by 32.0%p (CAGR 10.6%, 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=15, slow=23, signal=13 |
14.7% | -48.6% | 0.60 | 0.30 | 3.0x | 98 | 49% |
| Donchian 채널 돌파 entryN=67, exitN=6 |
10.6% | -26.7% | 0.59 | 0.40 | 2.2x | 16 | 9% |
| ADX / DI 방향성 period=20, threshold=28 |
11.7% | -36.6% | 0.59 | 0.32 | 2.4x | 16 | 15% |
| 볼린저 밴드 돌파 n=56, k=2.4 |
10.3% | -29.6% | 0.55 | 0.35 | 2.2x | 12 | 14% |
| Parabolic SAR step=0.015, maxStep=0.06 |
12.1% | -46.8% | 0.51 | 0.26 | 2.5x | 90 | 41% |
| Keltner 채널 돌파 emaPeriod=39, atrPeriod=15, mult=3.6 |
7.9% | -30.4% | 0.47 | 0.26 | 1.8x | 12 | 11% |
| ROC 모멘텀 n=10, threshold=0.13 |
6.7% | -40.6% | 0.41 | 0.16 | 1.7x | 68 | 7% |
| Supertrend period=28, mult=2.1 |
7.8% | -64.1% | 0.40 | 0.12 | 1.8x | 78 | 36% |
| SMA 크로스오버 fast=51, slow=73 |
5.0% | -38.5% | 0.32 | 0.13 | 1.5x | 31 | 32% |
| EMA 크로스오버 fast=53, slow=63 |
4.0% | -45.8% | 0.28 | 0.09 | 1.4x | 16 | 31% |
| Buy and hold | -5.2% | -80.6% | 0.09 | -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 (15/23) crosses above its 13-day signal line
- Sell — Sell when the MACD line crosses back below the signal line