Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Focus Media Information Technology Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Focus Media Information 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 7.8%, MDD -46.1%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.1%, drawdown -80.2%).
Sharpe leader (same as main): Supertrend — CAGR 14.1%, MDD -61.8%, Sharpe 0.57, 50% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.0%p higher than buy and hold, while drawdown improves by 18.3%p (CAGR 7.8%, MDD -46.1%, exposure 16%).
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=11, mult=2.9 |
14.1% | -61.8% | 0.57 | 0.23 | 18.2x | 127 | 50% |
| Donchian 채널 돌파 entryN=29, exitN=14 |
11.8% | -66.5% | 0.54 | 0.18 | 11.6x | 103 | 37% |
| 볼린저 밴드 돌파 n=34, k=2.9 |
9.6% | -49.7% | 0.53 | 0.19 | 7.4x | 48 | 15% |
| SMA 크로스오버 fast=17, slow=36 |
10.6% | -67.9% | 0.47 | 0.16 | 9.2x | 135 | 51% |
| MACD fast=19, slow=55, signal=23 |
10.2% | -69.5% | 0.47 | 0.15 | 8.5x | 191 | 50% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=11, mult=4 |
7.8% | -46.1% | 0.45 | 0.17 | 5.2x | 28 | 16% |
| ADX / DI 방향성 period=25, threshold=29 |
4.5% | -51.5% | 0.36 | 0.09 | 2.6x | 20 | 5% |
| EMA 크로스오버 fast=39, slow=170 |
5.9% | -74.1% | 0.34 | 0.08 | 3.5x | 40 | 54% |
| ROC 모멘텀 n=109, threshold=-0.03 |
4.1% | -84.0% | 0.29 | 0.05 | 2.4x | 234 | 57% |
| Parabolic SAR step=0.005, maxStep=0.26 |
3.6% | -76.5% | 0.27 | 0.05 | 2.2x | 173 | 48% |
| Buy and hold | 7.1% | -80.2% | 0.38 | 0.09 | 4.5x | 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) — 11-day volatility, 2.9× band
- Sell — Sell when price drops below the trend line (flips down)