Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Shenzhen Sunlord Electronics Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Shenzhen Sunlord Electronics Co., Ltd. Class A. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 10.3%, MDD -62.8%).

Data 2007-06-13 ~ 2026-07-31daily bars 4,652 (19.1 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 9.4%, drawdown -81.5%).

Sharpe leader (same as main): ROC 모멘텀 — CAGR 10.3%, MDD -62.8%, Sharpe 0.45, 76% exposure.

Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.9%p higher than buy and hold, while drawdown improves by 18.7%p (CAGR 10.3%, MDD -62.8%, exposure 76%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
ROC 모멘텀
n=165, threshold=-0.1
10.3%-62.8%0.450.166.5x8976%
Donchian 채널 돌파
entryN=21, exitN=81
9.7%-65.3%0.440.155.9x4178%
EMA 크로스오버
fast=12, slow=29
7.3%-54.2%0.380.133.8x13654%
SMA 크로스오버
fast=39, slow=223
6.9%-64.3%0.370.113.6x2962%
Supertrend
period=27, mult=2.8
5.3%-52.5%0.330.102.7x13653%
볼린저 밴드 돌파
n=26, k=2.8
3.9%-38.1%0.300.102.1x3610%
MACD
fast=19, slow=46, signal=18
4.0%-76.4%0.290.052.1x19451%
Keltner 채널 돌파
emaPeriod=15, atrPeriod=13, mult=3.1
1.3%-39.0%0.170.031.3x183%
Parabolic SAR
step=0.005, maxStep=0.34
-1.2%-69.9%0.13-0.020.8x16251%
ADX / DI 방향성
period=38, threshold=11
-1.4%-72.4%0.10-0.020.8x13238%
Buy and hold9.4%-81.5%0.430.125.6x1100%
1x 10x 2008 2011 2014 2017 2020 2023 2026 ROC 모멘텀Buy and hold
ROC 모멘텀: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -20% -41% -61% -82% 2008 2011 2014 2017 2020 2023 2026 Buy and holdROC 모멘텀
ROC 모멘텀 maximum drawdown -62.8% (2015-06-04 → 2015-09-02), recovered after 4,019 days.

Rules of the top strategy

Rides the trend when recent return (momentum) over a window is above a threshold.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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