Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Everbright Securities Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Everbright Securities Company Limited Class A. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 8.2%, MDD -14.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR -4.0%, drawdown -79.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -14.9%, Sharpe 0.78, 1% exposure.
CAGR reference leader: Keltner 채널 돌파 — CAGR 9.0%, MDD -19.7%, exposure 1%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 12.2%p higher than buy and hold, while drawdown improves by 64.4%p (CAGR 8.2%, MDD -14.9%, exposure 1%).
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=4, threshold=0.21 |
8.2% | -14.9% | 0.78 | 0.55 | 3.9x | 14 | 1% |
| Keltner 채널 돌파 emaPeriod=4, atrPeriod=29, mult=2.3 |
9.0% | -19.7% | 0.78 | 0.46 | 4.4x | 14 | 1% |
| 볼린저 밴드 돌파 n=16, k=3.2 |
5.3% | -25.1% | 0.51 | 0.21 | 2.4x | 14 | 2% |
| ADX / DI 방향성 period=39, threshold=30 |
5.5% | -26.6% | 0.48 | 0.20 | 2.5x | 4 | 4% |
| Donchian 채널 돌파 entryN=118, exitN=9 |
6.6% | -41.1% | 0.45 | 0.16 | 3.0x | 26 | 9% |
| MACD fast=18, slow=22, signal=14 |
5.6% | -54.9% | 0.34 | 0.10 | 2.5x | 214 | 50% |
| Supertrend period=34, mult=4.4 |
4.2% | -60.9% | 0.29 | 0.07 | 2.0x | 52 | 38% |
| Parabolic SAR step=0.015, maxStep=0.08 |
2.4% | -55.8% | 0.23 | 0.04 | 1.5x | 234 | 44% |
| SMA 크로스오버 fast=55, slow=65 |
-1.4% | -82.7% | 0.08 | -0.02 | 0.8x | 96 | 40% |
| EMA 크로스오버 fast=7, slow=164 |
-2.0% | -78.6% | 0.05 | -0.03 | 0.7x | 58 | 34% |
| Buy and hold | -4.0% | -79.3% | 0.09 | -0.05 | 0.5x | 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 4-day return is greater than 21%
- Sell — Sell when the 4-day return drops to 21% or below