Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hunan Silver Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hunan Silver 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 Keltner 채널 돌파 (CAGR 7.3%, MDD -48.1%).
Results by strategy
10 of 10 beat buy and hold (CAGR 2.9%, drawdown -92.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 12.9%, MDD -59.8%, Sharpe 0.52, 50% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.3%, MDD -65.4%, exposure 79%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 10.0%p higher than buy and hold, while drawdown improves by 32.9%p (CAGR 7.3%, MDD -48.1%, exposure 20%).
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=100, threshold=0.01 |
12.9% | -59.8% | 0.52 | 0.22 | 4.6x | 78 | 50% |
| Donchian 채널 돌파 entryN=13, exitN=78 |
13.3% | -65.4% | 0.51 | 0.20 | 4.8x | 34 | 79% |
| ADX / DI 방향성 period=32, threshold=16 |
10.7% | -57.9% | 0.47 | 0.18 | 3.6x | 52 | 40% |
| 볼린저 밴드 돌파 n=40, k=1.5 |
9.9% | -55.3% | 0.46 | 0.18 | 3.3x | 70 | 34% |
| Supertrend period=8, mult=5 |
10.5% | -70.7% | 0.46 | 0.15 | 3.5x | 32 | 65% |
| SMA 크로스오버 fast=18, slow=205 |
8.7% | -59.8% | 0.42 | 0.15 | 2.8x | 24 | 49% |
| Keltner 채널 돌파 emaPeriod=32, atrPeriod=17, mult=3.5 |
7.3% | -48.1% | 0.41 | 0.15 | 2.4x | 32 | 20% |
| Parabolic SAR step=0.03, maxStep=0.12 |
7.7% | -68.6% | 0.39 | 0.11 | 2.5x | 257 | 46% |
| EMA 크로스오버 fast=55, slow=119 |
7.6% | -59.8% | 0.39 | 0.13 | 2.5x | 20 | 49% |
| MACD fast=10, slow=45, signal=8 |
7.6% | -65.0% | 0.39 | 0.12 | 2.5x | 215 | 49% |
| Buy and hold | 2.9% | -92.7% | 0.31 | 0.03 | 1.4x | 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 100-day return is greater than 1%
- Sell — Sell when the 100-day return drops to 1% or below