Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Kunshan Kinglai Hygienic Materials Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Kunshan Kinglai Hygienic Materials Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.9%, MDD -47.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 13.2%, drawdown -73.0%).
Sharpe leader (same as main): Supertrend — CAGR 19.9%, MDD -47.6%, Sharpe 0.64, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 19.9%, MDD -47.6%, exposure 47%).
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=22, mult=2.3 |
19.9% | -47.6% | 0.64 | 0.42 | 14.9x | 128 | 47% |
| MACD fast=11, slow=46, signal=19 |
15.8% | -58.4% | 0.56 | 0.27 | 8.9x | 174 | 53% |
| Donchian 채널 돌파 entryN=7, exitN=61 |
15.6% | -70.6% | 0.55 | 0.22 | 8.7x | 52 | 86% |
| Parabolic SAR step=0.005, maxStep=0.16 |
13.3% | -56.5% | 0.51 | 0.24 | 6.4x | 114 | 50% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=23, mult=1.1 |
11.9% | -47.8% | 0.48 | 0.25 | 5.3x | 162 | 37% |
| ADX / DI 방향성 period=25, threshold=7 |
11.7% | -58.8% | 0.48 | 0.20 | 5.2x | 166 | 59% |
| SMA 크로스오버 fast=8, slow=98 |
10.1% | -75.6% | 0.45 | 0.13 | 4.2x | 58 | 54% |
| EMA 크로스오버 fast=56, slow=178 |
9.0% | -84.5% | 0.43 | 0.11 | 3.6x | 19 | 59% |
| 볼린저 밴드 돌파 n=21, k=1.8 |
8.7% | -51.1% | 0.41 | 0.17 | 3.5x | 140 | 36% |
| ROC 모멘텀 n=22, threshold=0.08 |
5.1% | -64.6% | 0.33 | 0.08 | 2.1x | 284 | 35% |
| Buy and hold | 13.2% | -73.0% | 0.51 | 0.18 | 6.3x | 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) — 22-day volatility, 2.3× band
- Sell — Sell when price drops below the trend line (flips down)