Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Resources Microelectronics Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Resources Microelectronics Ltd. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.3%, MDD -31.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 4.0%, drawdown -66.0%).
Sharpe leader (same as main): Supertrend — CAGR 7.8%, MDD -47.9%, Sharpe 0.39, 40% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 4.3%, MDD -31.2%, exposure 15%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=27, mult=4.9 |
7.8% | -47.9% | 0.39 | 0.16 | 1.6x | 18 | 40% |
| SMA 크로스오버 fast=39, slow=73 |
5.6% | -62.6% | 0.34 | 0.09 | 1.4x | 25 | 48% |
| MACD fast=11, slow=26, signal=9 |
4.7% | -60.8% | 0.31 | 0.08 | 1.3x | 104 | 50% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=29, mult=2.3 |
4.3% | -31.2% | 0.29 | 0.14 | 1.3x | 24 | 15% |
| ADX / DI 방향성 period=13, threshold=27 |
3.2% | -43.2% | 0.26 | 0.08 | 1.2x | 42 | 22% |
| ROC 모멘텀 n=6, threshold=0.12 |
3.1% | -28.7% | 0.25 | 0.11 | 1.2x | 62 | 6% |
| Donchian 채널 돌파 entryN=11, exitN=45 |
1.2% | -55.8% | 0.24 | 0.02 | 1.1x | 30 | 75% |
| EMA 크로스오버 fast=53, slow=158 |
0.9% | -49.9% | 0.20 | 0.02 | 1.1x | 7 | 49% |
| Parabolic SAR step=0.03, maxStep=0.12 |
-1.1% | -74.8% | 0.14 | -0.02 | 0.9x | 148 | 46% |
| 볼린저 밴드 돌파 n=51, k=2.2 |
-0.9% | -46.7% | 0.12 | -0.02 | 0.9x | 22 | 21% |
| Buy and hold | 4.0% | -66.0% | 0.32 | 0.06 | 1.3x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 27-day volatility, 4.9× band
- Sell — Sell when price drops below the trend line (flips down)