Trend-Following Backtester · Guide · backtest 한국어

equity · CN

S.F. Holding Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of S.F. Holding Co., Ltd. Class A. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.8%, MDD -15.7%).

Data 2010-02-05 ~ 2026-07-31daily bars 4,000 (16.5 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

7 of 10 beat buy and hold (CAGR 7.4%, drawdown -73.7%).

Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.8%, MDD -17.6%, Sharpe 0.79, 3% exposure.

CAGR reference leader: SMA 크로스오버 — CAGR 10.7%, MDD -56.7%, exposure 43%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 56.1%p (CAGR 7.8%, MDD -15.7%, exposure 1%).

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
볼린저 밴드 돌파
n=16, k=3.3
8.8%-17.6%0.790.504.0x123%
Keltner 채널 돌파
emaPeriod=7, atrPeriod=28, mult=3.2
7.8%-15.7%0.740.503.5x81%
Donchian 채널 돌파
entryN=40, exitN=10
9.3%-58.6%0.520.164.3x7322%
SMA 크로스오버
fast=15, slow=185
10.7%-56.7%0.500.195.4x2643%
EMA 크로스오버
fast=58, slow=175
9.8%-57.7%0.460.174.7x1644%
Supertrend
period=25, mult=1.9
9.1%-47.6%0.460.194.2x19346%
ROC 모멘텀
n=148, threshold=-0.02
8.9%-54.9%0.440.164.1x11448%
Parabolic SAR
step=0.025, maxStep=0.08
7.2%-65.4%0.390.113.1x28947%
ADX / DI 방향성
period=10, threshold=29
5.8%-51.5%0.370.112.5x14124%
MACD
fast=16, slow=52, signal=7
5.2%-67.5%0.330.082.3x25749%
Buy and hold7.4%-73.7%0.380.103.2x1100%
1x 10x 2011 2013 2015 2017 2019 2021 2023 2025 SMA 크로스오버볼린저 밴드 돌파Buy and hold
볼린저 밴드 돌파 (Sharpe leader), SMA 크로스오버 (CAGR reference), Buy and hold.
0% -18% -37% -55% -74% 2011 2013 2015 2017 2019 2021 2023 2025 Buy and holdSMA 크로스오버볼린저 밴드 돌파
볼린저 밴드 돌파 maximum drawdown -17.6% (2017-03-01 → 2017-09-25), recovered after 3,025 days.

Rules of the top strategy

Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.

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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