Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wus Printed Circuit (Kunshan) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wus Printed Circuit (Kunshan) Co., Ltd. Class A. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 16.1%, MDD -28.5%).
Results by strategy
5 of 10 beat buy and hold (CAGR 19.0%, drawdown -72.3%).
Sharpe leader (same as main): Supertrend — CAGR 23.4%, MDD -56.8%, Sharpe 0.75, 55% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 23.9%, MDD -60.7%, exposure 50%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by 15.5%p (CAGR 16.1%, MDD -28.5%, exposure 21%).
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=11, mult=3.8 |
23.4% | -56.8% | 0.75 | 0.41 | 29.0x | 58 | 55% |
| Donchian 채널 돌파 entryN=99, exitN=77 |
23.3% | -60.5% | 0.75 | 0.38 | 28.7x | 15 | 47% |
| SMA 크로스오버 fast=37, slow=154 |
23.9% | -60.7% | 0.75 | 0.39 | 30.9x | 25 | 50% |
| ADX / DI 방향성 period=16, threshold=27 |
16.1% | -28.5% | 0.70 | 0.57 | 11.0x | 80 | 21% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=18, mult=2.9 |
16.6% | -40.2% | 0.69 | 0.41 | 11.7x | 48 | 24% |
| EMA 크로스오버 fast=42, slow=117 |
20.4% | -74.7% | 0.67 | 0.27 | 19.7x | 23 | 52% |
| ROC 모멘텀 n=116, threshold=-0.04 |
20.3% | -79.0% | 0.67 | 0.26 | 19.3x | 99 | 55% |
| 볼린저 밴드 돌파 n=55, k=2.6 |
15.2% | -45.7% | 0.63 | 0.33 | 9.7x | 38 | 26% |
| Parabolic SAR step=0.005, maxStep=0.1 |
6.8% | -62.5% | 0.37 | 0.11 | 2.9x | 125 | 47% |
| MACD fast=15, slow=30, signal=12 |
5.3% | -62.1% | 0.33 | 0.09 | 2.3x | 245 | 52% |
| Buy and hold | 19.0% | -72.3% | 0.61 | 0.26 | 16.4x | 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) — 11-day volatility, 3.8× band
- Sell — Sell when price drops below the trend line (flips down)