Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guosen Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guosen Securities Co., Ltd. Class A. 6 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 11.4%, MDD -12.8%).
Results by strategy
6 of 10 beat buy and hold (CAGR 1.3%, drawdown -80.5%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 11.4%, MDD -12.8%, Sharpe 0.98, 1% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 10.1%p higher than buy and hold, while drawdown improves by 67.6%p (CAGR 11.4%, MDD -12.8%, exposure 1%).
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=2, threshold=0.11 |
11.4% | -12.8% | 0.98 | 0.89 | 3.6x | 34 | 1% |
| ADX / DI 방향성 period=21, threshold=39 |
4.6% | -16.7% | 0.47 | 0.27 | 1.7x | 8 | 4% |
| 볼린저 밴드 돌파 n=41, k=3 |
5.4% | -33.5% | 0.40 | 0.16 | 1.9x | 22 | 13% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=8, mult=4 |
3.7% | -25.8% | 0.32 | 0.14 | 1.5x | 12 | 9% |
| Parabolic SAR step=0.01, maxStep=0.36 |
3.8% | -65.4% | 0.28 | 0.06 | 1.5x | 142 | 45% |
| SMA 크로스오버 fast=39, slow=141 |
2.0% | -46.5% | 0.20 | 0.04 | 1.3x | 24 | 36% |
| Supertrend period=7, mult=3.7 |
0.5% | -59.8% | 0.15 | 0.01 | 1.1x | 50 | 47% |
| Donchian 채널 돌파 entryN=21, exitN=42 |
-2.0% | -57.8% | 0.05 | -0.04 | 0.8x | 40 | 53% |
| EMA 크로스오버 fast=42, slow=49 |
-4.1% | -73.1% | -0.06 | -0.06 | 0.6x | 36 | 40% |
| MACD fast=13, slow=23, signal=17 |
-5.2% | -67.3% | -0.10 | -0.08 | 0.5x | 176 | 50% |
| Buy and hold | 1.3% | -80.5% | 0.22 | 0.02 | 1.2x | 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 2-day return is greater than 11%
- Sell — Sell when the 2-day return drops to 11% or below