Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Rockchip Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Rockchip Electronics Co., Ltd. Class A. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Parabolic SAR (CAGR 71.3%, MDD -35.9%).
Results by strategy
2 of 10 beat buy and hold (CAGR 49.3%, drawdown -76.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 30.3%, MDD -8.8%, Sharpe 1.60, 3% exposure.
CAGR reference leader: Parabolic SAR — CAGR 71.3%, MDD -35.9%, exposure 47%.
Return/drawdown alternative: Parabolic SAR — CAGR is 19.0%p lower than buy and hold, while drawdown improves by 67.4%p (CAGR 71.3%, MDD -35.9%, exposure 47%).
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=0.1 |
30.3% | -8.8% | 1.60 | 3.45 | 5.6x | 54 | 3% |
| Parabolic SAR step=0.02, maxStep=0.36 |
71.3% | -35.9% | 1.51 | 1.99 | 32.7x | 140 | 47% |
| Supertrend period=2, mult=2.5 |
58.3% | -43.3% | 1.24 | 1.35 | 19.6x | 55 | 60% |
| MACD fast=18, slow=26, signal=7 |
38.9% | -35.5% | 1.07 | 1.10 | 8.4x | 82 | 46% |
| ADX / DI 방향성 period=23, threshold=27 |
22.2% | -26.7% | 0.83 | 0.83 | 3.7x | 10 | 19% |
| Donchian 채널 돌파 entryN=117, exitN=6 |
16.5% | -21.3% | 0.81 | 0.78 | 2.7x | 14 | 9% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=25, mult=3 |
19.5% | -49.0% | 0.77 | 0.40 | 3.2x | 20 | 19% |
| SMA 크로스오버 fast=56, slow=150 |
19.1% | -54.6% | 0.67 | 0.35 | 3.1x | 13 | 41% |
| 볼린저 밴드 돌파 n=36, k=2.8 |
16.3% | -50.7% | 0.66 | 0.32 | 2.7x | 22 | 22% |
| EMA 크로스오버 fast=99, slow=229 |
17.5% | -58.0% | 0.63 | 0.30 | 2.8x | 3 | 46% |
| Buy and hold | 49.3% | -76.2% | 1.02 | 0.65 | 13.4x | 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 10%
- Sell — Sell when the 1-day return drops to 10% or below