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Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Beijing Kingsoft Office Software. Inc. Class A backtest

10 trend-following strategies were compared on the full daily history of Beijing Kingsoft Office Software. Inc. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 18.0%, MDD -47.5%).

Data 2019-11-18 ~ 2026-08-31daily bars 1,647 (6.8 years)Costs 0.5%Venue SSEMonthly snapshot 2026-08-31

Results by strategy

4 of 10 beat buy and hold (CAGR 10.5%, drawdown -67.9%).

Sharpe leader (same as main): Supertrend — CAGR 20.2%, MDD -50.5%, Sharpe 0.64, 61% exposure.

Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.7%p higher than buy and hold, while drawdown improves by 17.4%p (CAGR 18.0%, MDD -47.5%, exposure 55%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=11, mult=4.7
20.2%-50.5%0.640.403.5x1761%
Donchian 채널 돌파
entryN=16, exitN=17
18.0%-47.5%0.600.383.1x3455%
볼린저 밴드 돌파
n=28, k=1.3
13.9%-48.1%0.530.292.4x5636%
EMA 크로스오버
fast=20, slow=40
13.3%-50.1%0.510.272.3x2948%
Parabolic SAR
step=0.005, maxStep=0.32
9.7%-55.8%0.430.171.9x5650%
ADX / DI 방향성
period=11, threshold=25
9.5%-49.9%0.430.191.9x5835%
Keltner 채널 돌파
emaPeriod=33, atrPeriod=13, mult=1.6
8.1%-43.8%0.400.181.7x4431%
SMA 크로스오버
fast=9, slow=62
5.9%-53.7%0.350.111.5x3147%
ROC 모멘텀
n=134, threshold=0.06
3.3%-63.0%0.270.051.2x5240%
MACD
fast=20, slow=46, signal=12
1.7%-51.7%0.240.031.1x7448%
Buy and hold10.5%-67.9%0.460.152.0x1100%
1x 2020 2021 2022 2023 2024 2025 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -17% -34% -51% -68% 2020 2021 2022 2023 2024 2025 2026 Buy and holdSupertrend
Supertrend maximum drawdown -50.5% (2021-01-22 → 2022-10-11), recovered after 795 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were carried forward from the latest full optimization and replayed on this monthly dataset. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-optimize the same period and setupMore CN assetsAll asset reports

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