Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Infogem Technologies Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Infogem Technologies Co., Ltd. Class A. 7 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 19.6%, MDD -37.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 15.2%, drawdown -92.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 22.7%, MDD -39.1%, Sharpe 0.82, 12% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 53.7%p (CAGR 19.6%, MDD -37.5%, exposure 6%).
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=22, k=3 |
22.7% | -39.1% | 0.82 | 0.58 | 27.2x | 44 | 12% |
| Keltner 채널 돌파 emaPeriod=10, atrPeriod=7, mult=2.3 |
19.6% | -37.5% | 0.81 | 0.52 | 18.1x | 36 | 6% |
| Donchian 채널 돌파 entryN=43, exitN=47 |
21.7% | -71.3% | 0.67 | 0.30 | 24.0x | 36 | 45% |
| ROC 모멘텀 n=87, threshold=0.11 |
17.9% | -85.7% | 0.61 | 0.21 | 14.5x | 132 | 31% |
| ADX / DI 방향성 period=10, threshold=28 |
16.0% | -86.0% | 0.57 | 0.19 | 11.0x | 168 | 32% |
| EMA 크로스오버 fast=22, slow=169 |
16.5% | -87.1% | 0.57 | 0.19 | 11.9x | 30 | 38% |
| SMA 크로스오버 fast=25, slow=44 |
16.0% | -87.1% | 0.56 | 0.18 | 11.0x | 106 | 47% |
| Supertrend period=16, mult=1.6 |
12.6% | -77.1% | 0.50 | 0.16 | 6.8x | 240 | 46% |
| Parabolic SAR step=0.02, maxStep=0.18 |
5.3% | -82.4% | 0.34 | 0.06 | 2.3x | 294 | 47% |
| MACD fast=10, slow=57, signal=17 |
2.5% | -91.1% | 0.28 | 0.03 | 1.5x | 228 | 48% |
| Buy and hold | 15.2% | -92.7% | 0.54 | 0.16 | 9.9x | 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 22-day average (3× volatility)
- Sell — Sell when the close falls back to the 22-day middle average