Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Estun Automation Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Estun Automation Co. Ltd. Class A. 2 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 24.9%, MDD -14.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 28.0%, drawdown -72.7%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 24.9%, MDD -14.3%, Sharpe 1.37, 3% exposure.
CAGR reference leader: Parabolic SAR — CAGR 37.1%, MDD -50.2%, exposure 51%.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 3.1%p lower than buy and hold, while drawdown improves by 58.5%p (CAGR 24.9%, MDD -14.3%, exposure 3%).
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=1, threshold=0.09 |
24.9% | -14.3% | 1.37 | 1.74 | 13.0x | 118 | 3% |
| Parabolic SAR step=0.01, maxStep=0.08 |
37.1% | -50.2% | 1.00 | 0.74 | 38.2x | 134 | 51% |
| Supertrend period=7, mult=2.6 |
36.1% | -52.2% | 0.97 | 0.69 | 34.9x | 88 | 54% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=8, mult=3.8 |
11.2% | -34.2% | 0.84 | 0.33 | 3.4x | 6 | 2% |
| 볼린저 밴드 돌파 n=29, k=1.1 |
23.0% | -37.2% | 0.77 | 0.62 | 10.9x | 98 | 41% |
| Donchian 채널 돌파 entryN=5, exitN=12 |
25.3% | -69.3% | 0.73 | 0.36 | 13.4x | 140 | 67% |
| EMA 크로스오버 fast=9, slow=28 |
21.8% | -43.8% | 0.71 | 0.50 | 9.8x | 82 | 50% |
| SMA 크로스오버 fast=15, slow=30 |
19.9% | -52.7% | 0.67 | 0.38 | 8.1x | 98 | 51% |
| MACD fast=23, slow=37, signal=22 |
16.9% | -58.5% | 0.61 | 0.29 | 6.0x | 102 | 51% |
| ADX / DI 방향성 period=10, threshold=30 |
14.0% | -40.8% | 0.59 | 0.34 | 4.5x | 116 | 29% |
| Buy and hold | 28.0% | -72.7% | 0.73 | 0.38 | 17.2x | 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 1-day return is greater than 9%
- Sell — Sell when the 1-day return drops to 9% or below