Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Founder Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Founder Securities Co., Ltd. Class A. 8 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 2.9%, MDD -29.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.2%, drawdown -72.9%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.9%, MDD -29.8%, Sharpe 0.36, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 5.8%, MDD -48.5%, exposure 66%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 1.7%p higher than buy and hold, while drawdown improves by 43.1%p (CAGR 2.9%, MDD -29.8%, 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=0.19 |
2.9% | -29.8% | 0.36 | 0.10 | 1.5x | 28 | 1% |
| Donchian 채널 돌파 entryN=20, exitN=52 |
5.8% | -48.5% | 0.34 | 0.12 | 2.3x | 36 | 66% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=18, mult=2.7 |
4.2% | -30.4% | 0.33 | 0.14 | 1.9x | 36 | 6% |
| MACD fast=24, slow=69, signal=21 |
5.2% | -63.7% | 0.32 | 0.08 | 2.2x | 110 | 48% |
| Supertrend period=8, mult=4 |
3.1% | -57.0% | 0.25 | 0.05 | 1.6x | 56 | 52% |
| 볼린저 밴드 돌파 n=28, k=1.8 |
2.4% | -61.8% | 0.22 | 0.04 | 1.4x | 106 | 25% |
| SMA 크로스오버 fast=16, slow=213 |
2.2% | -54.7% | 0.22 | 0.04 | 1.4x | 34 | 44% |
| ADX / DI 방향성 period=35, threshold=29 |
1.9% | -30.6% | 0.21 | 0.06 | 1.3x | 6 | 6% |
| Parabolic SAR step=0.005, maxStep=0.08 |
-0.6% | -73.4% | 0.11 | -0.01 | 0.9x | 104 | 48% |
| EMA 크로스오버 fast=49, slow=147 |
-1.4% | -72.0% | 0.08 | -0.02 | 0.8x | 26 | 44% |
| Buy and hold | 1.2% | -72.9% | 0.23 | 0.02 | 1.2x | 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 19%
- Sell — Sell when the 4-day return drops to 19% or below