Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Envicool Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Envicool Technology Co., Ltd. Class A. 0 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 38.5%, drawdown -63.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.6%, MDD -21.0%, Sharpe 0.93, 10% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=28, k=3.2 |
22.6% | -21.0% | 0.93 | 1.07 | 7.0x | 14 | 10% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=3.8 |
18.3% | -25.1% | 0.88 | 0.73 | 5.0x | 14 | 6% |
| ROC 모멘텀 n=134, threshold=0.05 |
21.2% | -73.4% | 0.66 | 0.29 | 6.3x | 100 | 54% |
| EMA 크로스오버 fast=28, slow=71 |
21.2% | -54.6% | 0.65 | 0.39 | 6.3x | 34 | 52% |
| SMA 크로스오버 fast=13, slow=131 |
19.8% | -53.1% | 0.64 | 0.37 | 5.7x | 30 | 50% |
| Supertrend period=11, mult=2.4 |
18.5% | -61.1% | 0.62 | 0.30 | 5.1x | 88 | 47% |
| Donchian 채널 돌파 entryN=11, exitN=75 |
18.5% | -72.6% | 0.59 | 0.25 | 5.1x | 32 | 83% |
| ADX / DI 방향성 period=22, threshold=16 |
16.2% | -66.2% | 0.57 | 0.24 | 4.2x | 80 | 44% |
| Parabolic SAR step=0.02, maxStep=0.16 |
15.4% | -68.7% | 0.55 | 0.22 | 3.9x | 192 | 46% |
| MACD fast=15, slow=25, signal=16 |
10.3% | -68.7% | 0.45 | 0.15 | 2.6x | 128 | 49% |
| Buy and hold | 38.5% | -63.6% | 0.86 | 0.61 | 22.7x | 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 28-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 28-day middle average