Trend-Following Backtester · Guide · backtest 한국어
equity · CN
TongFu Microelectronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of TongFu Microelectronics Co., Ltd. Class A. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 15.3%, MDD -56.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 8.7%, drawdown -86.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 19.9%, MDD -73.8%, Sharpe 0.65, 62% exposure.
Return/drawdown alternative: Supertrend — CAGR is 11.2%p higher than buy and hold, while drawdown improves by 12.7%p (CAGR 15.3%, MDD -56.4%, exposure 49%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=92, exitN=100 |
19.9% | -73.8% | 0.65 | 0.27 | 31.3x | 13 | 62% |
| ROC 모멘텀 n=136, threshold=-0.04 |
16.2% | -72.8% | 0.58 | 0.22 | 17.2x | 109 | 61% |
| Supertrend period=33, mult=3.1 |
15.3% | -56.4% | 0.58 | 0.27 | 14.9x | 118 | 49% |
| SMA 크로스오버 fast=11, slow=29 |
12.4% | -66.0% | 0.50 | 0.19 | 9.2x | 162 | 52% |
| MACD fast=15, slow=58, signal=16 |
10.3% | -74.0% | 0.46 | 0.14 | 6.4x | 206 | 51% |
| Parabolic SAR step=0.005, maxStep=0.1 |
9.7% | -63.1% | 0.44 | 0.15 | 5.8x | 150 | 49% |
| EMA 크로스오버 fast=20, slow=117 |
9.2% | -84.3% | 0.43 | 0.11 | 5.3x | 47 | 55% |
| 볼린저 밴드 돌파 n=49, k=1.2 |
7.4% | -65.1% | 0.39 | 0.11 | 3.9x | 116 | 40% |
| ADX / DI 방향성 period=23, threshold=37 |
3.5% | -29.0% | 0.36 | 0.12 | 1.9x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=15, mult=2.1 |
5.0% | -69.2% | 0.32 | 0.07 | 2.5x | 96 | 32% |
| Buy and hold | 8.7% | -86.4% | 0.43 | 0.10 | 4.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 92 days
- Sell — Sell when price breaks below the lowest low of the last 100 days