Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Tongding Interconnection Information Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Tongding Interconnection Information Co., Ltd. Class A. 10 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 14.0%, MDD -29.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.0%, drawdown -91.3%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.0%, MDD -29.6%, Sharpe 0.80, 4% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.8%, MDD -50.4%, exposure 46%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 61.6%p (CAGR 14.0%, MDD -29.6%, exposure 4%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=16, threshold=0.29 |
14.0% | -29.6% | 0.80 | 0.47 | 8.0x | 37 | 4% |
| 볼린저 밴드 돌파 n=42, k=3.5 |
16.7% | -50.5% | 0.76 | 0.33 | 11.5x | 16 | 10% |
| ADX / DI 방향성 period=13, threshold=25 |
19.9% | -59.5% | 0.75 | 0.34 | 17.9x | 118 | 28% |
| SMA 크로스오버 fast=10, slow=25 |
21.8% | -50.4% | 0.74 | 0.43 | 22.9x | 143 | 46% |
| Supertrend period=21, mult=2 |
20.0% | -51.5% | 0.71 | 0.39 | 17.9x | 175 | 43% |
| Parabolic SAR step=0.005, maxStep=0.36 |
19.4% | -53.5% | 0.70 | 0.36 | 16.7x | 115 | 41% |
| MACD fast=16, slow=31, signal=18 |
17.9% | -51.7% | 0.66 | 0.35 | 13.6x | 165 | 51% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=28, mult=2.6 |
14.4% | -54.9% | 0.60 | 0.26 | 8.5x | 58 | 24% |
| EMA 크로스오버 fast=67, slow=190 |
14.0% | -87.1% | 0.54 | 0.16 | 7.9x | 13 | 48% |
| Donchian 채널 돌파 entryN=24, exitN=23 |
13.2% | -75.1% | 0.54 | 0.18 | 7.1x | 75 | 47% |
| Buy and hold | 10.0% | -91.3% | 0.45 | 0.11 | 4.5x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 16-day return is greater than 29%
- Sell — Sell when the 16-day return drops to 29% or below