Trend-Following Backtester · Guide · backtest 한국어
equity · CN
iflytek Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of iflytek Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 11.4%, MDD -37.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 11.2%, drawdown -81.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -47.8%, Sharpe 0.62, 39% exposure.
CAGR reference leader: MACD — CAGR 15.9%, MDD -49.5%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 33.6%p (CAGR 11.4%, MDD -37.6%, exposure 29%).
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=26, exitN=15 |
15.5% | -47.8% | 0.62 | 0.32 | 14.0x | 86 | 39% |
| MACD fast=14, slow=64, signal=15 |
15.9% | -49.5% | 0.61 | 0.32 | 14.9x | 206 | 50% |
| 볼린저 밴드 돌파 n=29, k=1.3 |
14.8% | -39.3% | 0.61 | 0.38 | 12.5x | 160 | 36% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=28, mult=1.2 |
14.0% | -42.5% | 0.59 | 0.33 | 11.2x | 148 | 36% |
| Supertrend period=8, mult=2.7 |
15.5% | -59.4% | 0.57 | 0.26 | 14.2x | 132 | 52% |
| EMA 크로스오버 fast=11, slow=45 |
14.0% | -50.7% | 0.56 | 0.28 | 11.1x | 108 | 51% |
| ADX / DI 방향성 period=12, threshold=26 |
11.4% | -37.6% | 0.52 | 0.30 | 7.3x | 148 | 29% |
| SMA 크로스오버 fast=11, slow=217 |
11.8% | -68.1% | 0.49 | 0.17 | 7.7x | 44 | 59% |
| ROC 모멘텀 n=19, threshold=-0.04 |
10.4% | -52.6% | 0.46 | 0.20 | 6.2x | 398 | 66% |
| Parabolic SAR step=0.015, maxStep=0.34 |
4.9% | -54.9% | 0.31 | 0.09 | 2.4x | 308 | 48% |
| Buy and hold | 11.2% | -81.4% | 0.50 | 0.14 | 7.0x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 15 days