Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hangzhou Lion Electronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hangzhou Lion Electronics Co., Ltd. Class A. 4 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 52.9%, MDD -22.7%).
Results by strategy
4 of 10 beat buy and hold (CAGR 44.8%, drawdown -85.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 58.7%, MDD -26.6%, Sharpe 1.84, 7% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 13.9%p higher than buy and hold, while drawdown improves by 58.5%p (CAGR 52.9%, MDD -22.7%, exposure 20%).
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=0.07 |
58.7% | -26.6% | 1.84 | 2.21 | 15.8x | 120 | 7% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=13, mult=2.4 |
52.9% | -22.7% | 1.44 | 2.33 | 12.6x | 22 | 20% |
| Parabolic SAR step=0.025, maxStep=0.2 |
57.9% | -66.1% | 1.29 | 0.88 | 15.3x | 130 | 50% |
| Supertrend period=9, mult=2 |
46.5% | -63.5% | 1.14 | 0.73 | 9.8x | 62 | 49% |
| Donchian 채널 돌파 entryN=10, exitN=8 |
43.0% | -54.8% | 1.09 | 0.78 | 8.4x | 57 | 42% |
| ADX / DI 방향성 period=7, threshold=34 |
36.8% | -49.0% | 1.07 | 0.75 | 6.5x | 84 | 29% |
| 볼린저 밴드 돌파 n=20, k=2.1 |
35.1% | -39.7% | 1.03 | 0.89 | 6.0x | 38 | 30% |
| MACD fast=25, slow=42, signal=5 |
24.4% | -57.5% | 0.77 | 0.42 | 3.7x | 83 | 50% |
| SMA 크로스오버 fast=23, slow=27 |
10.9% | -71.1% | 0.46 | 0.15 | 1.9x | 65 | 47% |
| EMA 크로스오버 fast=51, slow=127 |
7.6% | -64.7% | 0.39 | 0.12 | 1.5x | 7 | 41% |
| Buy and hold | 44.8% | -85.1% | 0.95 | 0.53 | 9.1x | 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 7%
- Sell — Sell when the 1-day return drops to 7% or below