Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Talkweb Information System Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Talkweb Information System Co. Ltd. Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 13.6%, MDD -17.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 8.2%, drawdown -89.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 13.6%, MDD -17.7%, Sharpe 0.84, 4% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 17.5%, MDD -56.5%, exposure 19%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 5.4%p higher than buy and hold, while drawdown improves by 72.1%p (CAGR 13.6%, MDD -17.7%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=1, threshold=0.08 |
13.6% | -17.7% | 0.84 | 0.77 | 10.2x | 260 | 4% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=24, mult=2.2 |
16.7% | -45.0% | 0.81 | 0.37 | 16.7x | 60 | 8% |
| 볼린저 밴드 돌파 n=22, k=2.5 |
17.5% | -56.5% | 0.69 | 0.31 | 19.0x | 90 | 19% |
| Donchian 채널 돌파 entryN=85, exitN=4 |
12.1% | -35.6% | 0.62 | 0.34 | 8.0x | 58 | 8% |
| MACD fast=11, slow=58, signal=19 |
16.9% | -81.2% | 0.59 | 0.21 | 17.2x | 209 | 48% |
| Parabolic SAR step=0.015, maxStep=0.16 |
15.2% | -81.4% | 0.56 | 0.19 | 13.1x | 268 | 45% |
| Supertrend period=7, mult=1.5 |
14.4% | -72.0% | 0.54 | 0.20 | 11.5x | 290 | 46% |
| ADX / DI 방향성 period=8, threshold=38 |
11.1% | -46.3% | 0.52 | 0.24 | 6.9x | 142 | 16% |
| SMA 크로스오버 fast=64, slow=88 |
10.4% | -72.9% | 0.46 | 0.14 | 6.0x | 62 | 47% |
| EMA 크로스오버 fast=12, slow=170 |
7.2% | -80.2% | 0.39 | 0.09 | 3.6x | 48 | 49% |
| Buy and hold | 8.2% | -89.7% | 0.44 | 0.09 | 4.2x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 1-day return is greater than 8%
- Sell — Sell when the 1-day return drops to 8% or below