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. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 13.6%, drawdown -57.2%).
Sharpe leader (same as main): Supertrend — CAGR 7.0%, MDD -66.6%, Sharpe 0.38, 65% 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=2, mult=3.5 |
7.0% | -66.6% | 0.38 | 0.11 | 1.7x | 39 | 65% |
| Keltner 채널 돌파 emaPeriod=7, atrPeriod=14, mult=2.3 |
5.1% | -22.1% | 0.36 | 0.23 | 1.5x | 20 | 4% |
| 볼린저 밴드 돌파 n=11, k=2.9 |
3.5% | -18.5% | 0.34 | 0.19 | 1.3x | 8 | 2% |
| ADX / DI 방향성 period=40, threshold=28 |
4.1% | -35.9% | 0.34 | 0.11 | 1.4x | 6 | 7% |
| ROC 모멘텀 n=10, threshold=0.13 |
5.2% | -52.6% | 0.33 | 0.10 | 1.5x | 72 | 8% |
| Donchian 채널 돌파 entryN=7, exitN=69 |
4.6% | -53.9% | 0.33 | 0.09 | 1.4x | 25 | 85% |
| Parabolic SAR step=0.02, maxStep=0.12 |
3.9% | -71.6% | 0.29 | 0.05 | 1.3x | 138 | 45% |
| MACD fast=10, slow=33, signal=12 |
-3.0% | -59.3% | 0.08 | -0.05 | 0.8x | 128 | 47% |
| SMA 크로스오버 fast=59, slow=77 |
-2.8% | -51.6% | 0.06 | -0.05 | 0.8x | 37 | 43% |
| EMA 크로스오버 fast=12, slow=16 |
-6.8% | -77.6% | -0.01 | -0.09 | 0.6x | 92 | 42% |
| Buy and hold | 13.6% | -57.2% | 0.51 | 0.24 | 2.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 2-day volatility, 3.5× band
- Sell — Sell when price drops below the trend line (flips down)