Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Grace Fabric Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Grace Fabric Technology Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 46.3%, MDD -57.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 53.1%, drawdown -80.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 39.3%, MDD -29.4%, Sharpe 1.32, 12% exposure.
CAGR reference leader: Parabolic SAR — CAGR 52.7%, MDD -73.2%, exposure 50%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 13.8%p lower than buy and hold, while drawdown improves by 51.1%p (CAGR 46.3%, MDD -57.9%, exposure 40%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=84, exitN=8 |
39.3% | -29.4% | 1.32 | 1.34 | 10.3x | 14 | 12% |
| Parabolic SAR step=0.015, maxStep=0.38 |
52.7% | -73.2% | 1.19 | 0.72 | 19.6x | 112 | 50% |
| SMA 크로스오버 fast=24, slow=212 |
46.3% | -57.9% | 1.15 | 0.80 | 14.6x | 5 | 40% |
| EMA 크로스오버 fast=57, slow=172 |
45.2% | -57.9% | 1.13 | 0.78 | 13.8x | 3 | 38% |
| ROC 모멘텀 n=136, threshold=0.05 |
43.8% | -57.9% | 1.10 | 0.76 | 12.9x | 71 | 39% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=18, mult=3.1 |
32.2% | -50.9% | 1.04 | 0.63 | 7.1x | 22 | 15% |
| Supertrend period=5, mult=2.8 |
42.5% | -79.8% | 1.01 | 0.53 | 12.1x | 50 | 54% |
| ADX / DI 방향성 period=37, threshold=22 |
33.0% | -51.7% | 0.98 | 0.64 | 7.4x | 12 | 27% |
| 볼린저 밴드 돌파 n=51, k=2.4 |
30.2% | -58.8% | 0.95 | 0.51 | 6.4x | 18 | 22% |
| MACD fast=19, slow=43, signal=17 |
29.5% | -74.8% | 0.84 | 0.39 | 6.2x | 66 | 51% |
| Buy and hold | 53.1% | -80.5% | 1.04 | 0.66 | 20.0x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 84 days
- Sell — Sell when price breaks below the lowest low of the last 8 days