Trend-Following Backtester · Guide · backtest 한국어
equity · CN
37 Interactive Entertainment Network Technology Group Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of 37 Interactive Entertainment Network Technology Group Co., Ltd.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 15.3%, MDD -19.5%).
Results by strategy
10 of 10 beat buy and hold (CAGR 10.9%, drawdown -75.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.3%, MDD -19.5%, Sharpe 0.95, 5% exposure.
CAGR reference leader: Supertrend — CAGR 19.8%, MDD -55.4%, exposure 48%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 4.4%p higher than buy and hold, while drawdown improves by 56.0%p (CAGR 15.3%, MDD -19.5%, exposure 5%).
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=13, k=2.9 |
15.3% | -19.5% | 0.95 | 0.78 | 9.2x | 24 | 5% |
| Donchian 채널 돌파 entryN=79, exitN=5 |
18.7% | -43.4% | 0.84 | 0.43 | 14.5x | 48 | 14% |
| ADX / DI 방향성 period=8, threshold=48 |
15.6% | -27.1% | 0.82 | 0.57 | 9.5x | 66 | 10% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=12, mult=2.5 |
15.3% | -43.1% | 0.71 | 0.35 | 9.2x | 52 | 15% |
| SMA 크로스오버 fast=28, slow=117 |
19.5% | -69.6% | 0.69 | 0.28 | 16.0x | 28 | 46% |
| MACD fast=19, slow=31, signal=10 |
19.4% | -59.6% | 0.69 | 0.32 | 15.7x | 198 | 52% |
| Supertrend period=17, mult=4.4 |
19.8% | -55.4% | 0.69 | 0.36 | 16.7x | 46 | 48% |
| ROC 모멘텀 n=138, threshold=-0.08 |
19.3% | -69.5% | 0.66 | 0.28 | 15.7x | 98 | 60% |
| EMA 크로스오버 fast=22, slow=62 |
16.1% | -72.1% | 0.61 | 0.22 | 10.2x | 50 | 46% |
| Parabolic SAR step=0.005, maxStep=0.38 |
13.2% | -58.6% | 0.54 | 0.23 | 6.9x | 114 | 47% |
| Buy and hold | 10.9% | -75.5% | 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 13-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 13-day middle average