Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Do-Fluoride New Materials Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Do-Fluoride New Materials Co. Ltd. Class A. 10 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.2%, MDD -41.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 11.8%, drawdown -79.7%).
Sharpe leader (same as main): Supertrend — CAGR 23.5%, MDD -67.8%, Sharpe 0.75, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.7%p higher than buy and hold, while drawdown improves by 11.9%p (CAGR 20.2%, MDD -41.2%, exposure 33%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=12, mult=2.6 |
23.5% | -67.8% | 0.75 | 0.35 | 30.6x | 116 | 45% |
| ADX / DI 방향성 period=18, threshold=25 |
19.0% | -46.9% | 0.73 | 0.40 | 16.6x | 72 | 23% |
| 볼린저 밴드 돌파 n=25, k=1.7 |
20.2% | -41.2% | 0.72 | 0.49 | 19.7x | 120 | 33% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=1.6 |
17.4% | -52.0% | 0.64 | 0.34 | 13.5x | 92 | 34% |
| SMA 크로스오버 fast=44, slow=175 |
18.0% | -65.0% | 0.63 | 0.28 | 14.7x | 25 | 40% |
| EMA 크로스오버 fast=74, slow=159 |
17.5% | -65.0% | 0.61 | 0.27 | 13.7x | 13 | 39% |
| Parabolic SAR step=0.005, maxStep=0.12 |
16.0% | -52.9% | 0.59 | 0.30 | 11.1x | 122 | 45% |
| ROC 모멘텀 n=16, threshold=0.03 |
15.8% | -62.0% | 0.59 | 0.25 | 10.7x | 354 | 39% |
| Donchian 채널 돌파 entryN=11, exitN=36 |
16.9% | -68.1% | 0.58 | 0.25 | 12.5x | 82 | 68% |
| MACD fast=29, slow=42, signal=17 |
15.6% | -71.8% | 0.57 | 0.22 | 10.4x | 140 | 51% |
| Buy and hold | 11.8% | -79.7% | 0.48 | 0.15 | 6.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 12-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)