Trend-Following Backtester · Guide · backtest 한국어
equity · CN
ChinaLin Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of ChinaLin Securities Co., Ltd. Class A. 1 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ROC 모멘텀 (CAGR 15.1%, MDD -19.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.6%, drawdown -57.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 15.1%, MDD -19.4%, Sharpe 0.88, 2% exposure.
Return/drawdown alternative: ROC 모멘텀 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 15.1%, MDD -19.4%, exposure 2%).
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 |
15.1% | -19.4% | 0.88 | 0.78 | 2.9x | 54 | 2% |
| ADX / DI 방향성 period=34, threshold=40 |
0.6% | -1.8% | 0.34 | 0.36 | 1.0x | 2 | 0% |
| Parabolic SAR step=0.02, maxStep=0.12 |
5.6% | -71.6% | 0.34 | 0.08 | 1.5x | 135 | 45% |
| Donchian 채널 돌파 entryN=9, exitN=77 |
3.0% | -55.5% | 0.29 | 0.05 | 1.3x | 23 | 82% |
| 볼린저 밴드 돌파 n=17, k=1.5 |
4.0% | -57.3% | 0.29 | 0.07 | 1.3x | 89 | 28% |
| Supertrend period=5, mult=4.7 |
1.8% | -57.1% | 0.26 | 0.03 | 1.1x | 19 | 71% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=24, mult=3.2 |
1.0% | -48.4% | 0.17 | 0.02 | 1.1x | 22 | 13% |
| MACD fast=14, slow=18, signal=9 |
-2.3% | -67.4% | 0.11 | -0.03 | 0.8x | 143 | 49% |
| SMA 크로스오버 fast=78, slow=242 |
-4.3% | -42.8% | -0.05 | -0.10 | 0.7x | 10 | 39% |
| EMA 크로스오버 fast=37, slow=211 |
-10.8% | -69.7% | -0.19 | -0.15 | 0.4x | 22 | 48% |
| Buy and hold | 14.6% | -57.2% | 0.53 | 0.26 | 2.8x | 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