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%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.7%, 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 2.0%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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=16, k=3.3 |
8.8% | -17.6% | 0.79 | 0.50 | 4.0x | 12 | 3% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=28, mult=3.2 |
7.8% | -15.7% | 0.73 | 0.50 | 3.5x | 8 | 1% |
| Donchian 채널 돌파 entryN=40, exitN=10 |
8.9% | -58.6% | 0.51 | 0.15 | 4.1x | 74 | 22% |
| SMA 크로스오버 fast=15, slow=185 |
10.7% | -56.7% | 0.50 | 0.19 | 5.4x | 26 | 43% |
| EMA 크로스오버 fast=58, slow=175 |
9.7% | -57.7% | 0.46 | 0.17 | 4.7x | 16 | 44% |
| Supertrend period=25, mult=1.9 |
8.7% | -47.6% | 0.45 | 0.18 | 4.0x | 194 | 46% |
| ROC 모멘텀 n=148, threshold=-0.02 |
8.8% | -54.9% | 0.44 | 0.16 | 4.1x | 114 | 48% |
| Parabolic SAR step=0.025, maxStep=0.08 |
6.5% | -65.4% | 0.37 | 0.10 | 2.9x | 291 | 46% |
| ADX / DI 방향성 period=10, threshold=29 |
5.4% | -51.5% | 0.36 | 0.10 | 2.4x | 142 | 24% |
| MACD fast=16, slow=52, signal=7 |
4.6% | -67.7% | 0.30 | 0.07 | 2.1x | 259 | 49% |
| Buy and hold | 6.7% | -73.7% | 0.37 | 0.09 | 2.9x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 16-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 16-day middle average