Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Goodix Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Goodix Technology Co., Ltd. Class A. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 10.6%, MDD -16.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.6%, drawdown -88.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 19.4%, MDD -16.5%, Sharpe 1.26, 2% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.8%p higher than buy and hold, while drawdown improves by 71.6%p (CAGR 10.6%, MDD -16.4%, exposure 8%).
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=0.09 |
19.4% | -16.5% | 1.26 | 1.18 | 5.9x | 48 | 2% |
| 볼린저 밴드 돌파 n=21, k=3.2 |
10.6% | -16.4% | 0.70 | 0.64 | 2.7x | 14 | 8% |
| Donchian 채널 돌파 entryN=89, exitN=27 |
9.9% | -31.2% | 0.51 | 0.32 | 2.6x | 14 | 24% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=19, mult=3.9 |
7.5% | -31.5% | 0.47 | 0.24 | 2.1x | 12 | 10% |
| Parabolic SAR step=0.025, maxStep=0.06 |
9.6% | -68.0% | 0.45 | 0.14 | 2.5x | 137 | 46% |
| Supertrend period=6, mult=3.5 |
9.2% | -59.6% | 0.43 | 0.15 | 2.4x | 53 | 50% |
| SMA 크로스오버 fast=33, slow=193 |
7.0% | -59.9% | 0.39 | 0.12 | 2.0x | 14 | 35% |
| ADX / DI 방향성 period=38, threshold=16 |
5.0% | -57.0% | 0.33 | 0.09 | 1.6x | 24 | 25% |
| EMA 크로스오버 fast=52, slow=120 |
3.5% | -69.0% | 0.27 | 0.05 | 1.4x | 14 | 39% |
| MACD fast=31, slow=39, signal=30 |
-4.1% | -59.5% | 0.04 | -0.07 | 0.7x | 71 | 49% |
| Buy and hold | 5.6% | -88.0% | 0.35 | 0.06 | 1.7x | 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 9%
- Sell — Sell when the 1-day return drops to 9% or below