Trend-Following Backtester · Guide · backtest 한국어
equity · CN
FSPG Hi-Tech Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of FSPG Hi-Tech Co., Ltd Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.2%, MDD -48.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 3.3%, drawdown -84.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 9.6%, MDD -76.5%, Sharpe 0.44, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 7.8%p (CAGR 5.2%, MDD -48.7%, exposure 7%).
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=167, threshold=-0.02 |
9.6% | -76.5% | 0.44 | 0.13 | 11.0x | 172 | 50% |
| MACD fast=18, slow=22, signal=19 |
8.5% | -73.6% | 0.41 | 0.12 | 8.5x | 321 | 52% |
| Donchian 채널 돌파 entryN=115, exitN=73 |
8.1% | -68.6% | 0.41 | 0.12 | 7.7x | 28 | 38% |
| Supertrend period=19, mult=2.8 |
7.8% | -70.1% | 0.39 | 0.11 | 7.1x | 182 | 49% |
| EMA 크로스오버 fast=40, slow=237 |
7.5% | -85.8% | 0.39 | 0.09 | 6.6x | 31 | 43% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=9, mult=2.8 |
5.2% | -48.7% | 0.38 | 0.11 | 3.7x | 44 | 7% |
| SMA 크로스오버 fast=8, slow=250 |
6.6% | -89.6% | 0.36 | 0.07 | 5.4x | 54 | 45% |
| Parabolic SAR step=0.01, maxStep=0.1 |
5.5% | -63.5% | 0.33 | 0.09 | 4.1x | 310 | 50% |
| 볼린저 밴드 돌파 n=43, k=3.4 |
4.4% | -64.3% | 0.32 | 0.07 | 3.1x | 38 | 11% |
| ADX / DI 방향성 period=35, threshold=19 |
3.2% | -65.6% | 0.25 | 0.05 | 2.3x | 78 | 21% |
| Buy and hold | 3.3% | -84.2% | 0.30 | 0.04 | 2.3x | 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 167-day return is greater than -2%
- Sell — Sell when the 167-day return drops to -2% or below