Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huafon Chemical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Huafon Chemical Co., Ltd. Class A. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 20.4%, MDD -48.8%).
Results by strategy
5 of 10 beat buy and hold (CAGR 13.8%, drawdown -86.4%).
Sharpe leader (same as main): Supertrend — CAGR 20.4%, MDD -48.8%, Sharpe 0.76, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 20.7%, MDD -64.2%, exposure 59%.
Return/drawdown alternative: Supertrend — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 37.7%p (CAGR 20.4%, MDD -48.8%, exposure 50%).
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=25, mult=4.4 |
20.4% | -48.8% | 0.76 | 0.42 | 41.2x | 56 | 50% |
| ADX / DI 방향성 period=38, threshold=39 |
8.0% | -20.2% | 0.75 | 0.40 | 4.7x | 4 | 3% |
| Donchian 채널 돌파 entryN=35, exitN=51 |
20.7% | -64.2% | 0.72 | 0.32 | 43.5x | 47 | 59% |
| Keltner 채널 돌파 emaPeriod=70, atrPeriod=25, mult=2.5 |
14.9% | -49.6% | 0.63 | 0.30 | 16.2x | 58 | 33% |
| SMA 크로스오버 fast=55, slow=90 |
16.5% | -61.6% | 0.62 | 0.27 | 21.4x | 55 | 51% |
| 볼린저 밴드 돌파 n=54, k=3 |
12.6% | -53.0% | 0.62 | 0.24 | 10.7x | 38 | 22% |
| EMA 크로스오버 fast=52, slow=60 |
16.0% | -57.7% | 0.61 | 0.28 | 19.5x | 47 | 53% |
| ROC 모멘텀 n=92, threshold=0.13 |
11.2% | -70.1% | 0.51 | 0.16 | 8.4x | 172 | 32% |
| MACD fast=19, slow=26, signal=11 |
9.1% | -66.3% | 0.43 | 0.14 | 5.7x | 290 | 53% |
| Parabolic SAR step=0.03, maxStep=0.08 |
4.9% | -69.5% | 0.31 | 0.07 | 2.6x | 377 | 49% |
| Buy and hold | 13.8% | -86.4% | 0.52 | 0.16 | 13.4x | 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) — 25-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)