Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Raytron Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Raytron Technology Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 30.1%, MDD -40.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 20.0%, drawdown -81.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 40.4%, MDD -52.2%, Sharpe 1.00, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 20.4%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 30.1%, MDD -40.9%, exposure 57%).
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=43, exitN=79 |
40.4% | -52.2% | 1.00 | 0.77 | 11.2x | 5 | 70% |
| ROC 모멘텀 n=71, threshold=-0.04 |
37.4% | -47.1% | 0.97 | 0.79 | 9.6x | 57 | 61% |
| SMA 크로스오버 fast=59, slow=208 |
29.7% | -50.8% | 0.92 | 0.58 | 6.3x | 7 | 56% |
| EMA 크로스오버 fast=42, slow=159 |
30.1% | -40.9% | 0.91 | 0.74 | 6.5x | 9 | 57% |
| Supertrend period=31, mult=1.6 |
25.3% | -47.1% | 0.83 | 0.54 | 5.0x | 90 | 43% |
| ADX / DI 방향성 period=12, threshold=9 |
26.8% | -50.3% | 0.81 | 0.53 | 5.4x | 139 | 55% |
| MACD fast=11, slow=29, signal=19 |
23.6% | -53.3% | 0.76 | 0.44 | 4.5x | 88 | 49% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
22.7% | -42.3% | 0.76 | 0.54 | 4.3x | 61 | 41% |
| Parabolic SAR step=0.015, maxStep=0.12 |
18.5% | -46.9% | 0.65 | 0.39 | 3.3x | 104 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=1.5 |
12.3% | -51.3% | 0.51 | 0.24 | 2.3x | 41 | 44% |
| Buy and hold | 20.0% | -81.1% | 0.62 | 0.25 | 3.7x | 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 43 days
- Sell — Sell when price breaks below the lowest low of the last 79 days