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. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 25.7%, MDD -40.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR 15.8%, drawdown -81.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 35.7%, MDD -52.2%, Sharpe 0.92, 70% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 19.9%p higher than buy and hold, while drawdown improves by 28.9%p (CAGR 25.7%, 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 |
35.7% | -52.2% | 0.92 | 0.68 | 8.6x | 5 | 70% |
| ROC 모멘텀 n=71, threshold=-0.04 |
32.8% | -47.1% | 0.89 | 0.70 | 7.3x | 57 | 61% |
| Supertrend period=31, mult=1.6 |
25.3% | -47.1% | 0.83 | 0.54 | 4.9x | 88 | 43% |
| SMA 크로스오버 fast=59, slow=208 |
25.2% | -50.8% | 0.83 | 0.50 | 4.9x | 7 | 55% |
| EMA 크로스오버 fast=42, slow=159 |
25.7% | -40.9% | 0.82 | 0.63 | 5.0x | 9 | 57% |
| MACD fast=11, slow=29, signal=19 |
23.8% | -53.3% | 0.77 | 0.45 | 4.5x | 86 | 49% |
| ADX / DI 방향성 period=12, threshold=9 |
23.7% | -50.3% | 0.75 | 0.47 | 4.5x | 138 | 55% |
| 볼린저 밴드 돌파 n=27, k=1.2 |
21.6% | -42.3% | 0.74 | 0.51 | 4.0x | 60 | 40% |
| Parabolic SAR step=0.015, maxStep=0.12 |
16.9% | -46.9% | 0.61 | 0.36 | 3.0x | 103 | 49% |
| Keltner 채널 돌파 emaPeriod=57, atrPeriod=9, mult=1.5 |
11.2% | -51.3% | 0.49 | 0.22 | 2.1x | 40 | 44% |
| Buy and hold | 15.8% | -81.1% | 0.55 | 0.20 | 2.8x | 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