Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bestechnic (Shanghai) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Bestechnic (Shanghai) Co., Ltd. Class A. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 6.8%, MDD -11.8%).
Results by strategy
10 of 10 beat buy and hold (CAGR -8.7%, drawdown -78.1%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 17.4%, MDD -31.8%, Sharpe 0.71, 18% exposure.
CAGR reference leader: MACD — CAGR 19.5%, MDD -41.5%, exposure 46%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 26.1%p higher than buy and hold, while drawdown improves by 46.3%p (CAGR 6.8%, MDD -11.8%, exposure 1%).
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=111, threshold=0.23 |
17.4% | -31.8% | 0.71 | 0.55 | 2.5x | 10 | 18% |
| MACD fast=13, slow=48, signal=7 |
19.5% | -41.5% | 0.65 | 0.47 | 2.8x | 81 | 46% |
| ADX / DI 방향성 period=39, threshold=27 |
10.4% | -22.5% | 0.62 | 0.46 | 1.8x | 2 | 9% |
| Parabolic SAR step=0.02, maxStep=0.1 |
17.2% | -45.6% | 0.60 | 0.38 | 2.5x | 95 | 43% |
| 볼린저 밴드 돌파 n=15, k=3.3 |
6.8% | -11.8% | 0.54 | 0.58 | 1.5x | 2 | 1% |
| EMA 크로스오버 fast=57, slow=210 |
11.6% | -36.9% | 0.51 | 0.31 | 1.9x | 4 | 28% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=8, mult=4 |
6.9% | -21.1% | 0.45 | 0.33 | 1.5x | 4 | 9% |
| SMA 크로스오버 fast=46, slow=216 |
9.7% | -50.8% | 0.44 | 0.19 | 1.7x | 6 | 34% |
| Supertrend period=16, mult=1 |
9.2% | -57.9% | 0.42 | 0.16 | 1.7x | 134 | 45% |
| Donchian 채널 돌파 entryN=100, exitN=79 |
7.6% | -56.6% | 0.39 | 0.13 | 1.5x | 4 | 42% |
| Buy and hold | -8.7% | -78.1% | 0.11 | -0.11 | 0.6x | 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 111-day return is greater than 23%
- Sell — Sell when the 111-day return drops to 23% or below