Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Fujian Star-Net Communication Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Fujian Star-Net Communication Co., Ltd. Class A. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 10.5%, drawdown -73.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.0%, MDD -37.7%, Sharpe 0.45, 13% exposure.
CAGR reference leader: MACD — CAGR 7.6%, MDD -69.0%, exposure 51%.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=45, k=3 |
7.0% | -37.7% | 0.45 | 0.18 | 3.0x | 22 | 13% |
| MACD fast=14, slow=47, signal=18 |
7.6% | -69.0% | 0.39 | 0.11 | 3.3x | 181 | 51% |
| ADX / DI 방향성 period=20, threshold=20 |
6.5% | -50.2% | 0.37 | 0.13 | 2.8x | 97 | 26% |
| Donchian 채널 돌파 entryN=79, exitN=32 |
5.7% | -50.1% | 0.34 | 0.11 | 2.5x | 35 | 32% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=43, mult=3.6 |
5.3% | -44.7% | 0.34 | 0.12 | 2.3x | 37 | 20% |
| SMA 크로스오버 fast=54, slow=182 |
5.0% | -65.5% | 0.32 | 0.08 | 2.2x | 25 | 51% |
| Supertrend period=18, mult=2.8 |
4.1% | -69.4% | 0.29 | 0.06 | 1.9x | 123 | 45% |
| ROC 모멘텀 n=28, threshold=-0.05 |
3.8% | -79.3% | 0.29 | 0.05 | 1.8x | 293 | 67% |
| EMA 크로스오버 fast=6, slow=32 |
1.9% | -73.8% | 0.24 | 0.03 | 1.4x | 161 | 52% |
| Parabolic SAR step=0.005, maxStep=0.28 |
1.6% | -51.1% | 0.22 | 0.03 | 1.3x | 131 | 49% |
| Buy and hold | 10.5% | -73.7% | 0.46 | 0.14 | 5.0x | 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 45-day average (3× volatility)
- Sell — Sell when the close falls back to the 45-day middle average