Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Kaifa Technology Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Kaifa Technology Co., Ltd Class A. 6 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 12.8%, MDD -47.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.5%, drawdown -86.1%).
Sharpe leader (same as main): Supertrend — CAGR 15.7%, MDD -79.6%, Sharpe 0.57, 43% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 6.5%p (CAGR 12.8%, MDD -47.4%, exposure 14%).
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=20, mult=3 |
15.7% | -79.6% | 0.57 | 0.20 | 115.3x | 202 | 43% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=20, mult=3.8 |
12.8% | -47.4% | 0.55 | 0.27 | 50.1x | 64 | 14% |
| Donchian 채널 돌파 entryN=46, exitN=66 |
15.3% | -79.4% | 0.54 | 0.19 | 102.5x | 63 | 54% |
| EMA 크로스오버 fast=17, slow=100 |
14.0% | -77.0% | 0.52 | 0.18 | 72.3x | 90 | 47% |
| ROC 모멘텀 n=103, threshold=0.01 |
13.3% | -76.7% | 0.51 | 0.17 | 58.9x | 245 | 47% |
| SMA 크로스오버 fast=52, slow=103 |
12.7% | -70.0% | 0.49 | 0.18 | 48.6x | 83 | 47% |
| 볼린저 밴드 돌파 n=48, k=1.9 |
12.0% | -65.9% | 0.49 | 0.18 | 40.5x | 136 | 29% |
| ADX / DI 방향성 period=26, threshold=11 |
12.1% | -73.7% | 0.48 | 0.16 | 41.6x | 350 | 49% |
| Parabolic SAR step=0.01, maxStep=0.28 |
11.3% | -85.4% | 0.46 | 0.13 | 33.1x | 407 | 47% |
| MACD fast=17, slow=53, signal=17 |
7.8% | -87.5% | 0.38 | 0.09 | 11.6x | 368 | 50% |
| Buy and hold | 12.5% | -86.1% | 0.48 | 0.15 | 47.0x | 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) — 20-day volatility, 3× band
- Sell — Sell when price drops below the trend line (flips down)