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. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 19.2%, MDD -47.6%).
Results by strategy
3 of 10 beat buy and hold (CAGR 15.1%, drawdown -73.0%).
Sharpe leader (same as main): Supertrend — CAGR 19.2%, MDD -47.6%, Sharpe 0.62, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 4.1%p higher than buy and hold, while drawdown improves by 25.4%p (CAGR 19.2%, 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 |
19.2% | -47.6% | 0.62 | 0.40 | 13.8x | 129 | 47% |
| MACD fast=11, slow=46, signal=19 |
15.6% | -58.4% | 0.56 | 0.27 | 8.8x | 175 | 53% |
| Donchian 채널 돌파 entryN=7, exitN=61 |
15.5% | -70.6% | 0.54 | 0.22 | 8.6x | 53 | 86% |
| Parabolic SAR step=0.005, maxStep=0.16 |
13.0% | -56.5% | 0.50 | 0.23 | 6.2x | 115 | 50% |
| Keltner 채널 돌파 emaPeriod=20, atrPeriod=23, mult=1.1 |
11.8% | -47.8% | 0.48 | 0.25 | 5.3x | 162 | 37% |
| EMA 크로스오버 fast=56, slow=178 |
10.9% | -84.5% | 0.46 | 0.13 | 4.7x | 19 | 59% |
| ADX / DI 방향성 period=25, threshold=7 |
10.8% | -58.8% | 0.46 | 0.18 | 4.7x | 171 | 59% |
| SMA 크로스오버 fast=8, slow=98 |
10.0% | -75.6% | 0.44 | 0.13 | 4.2x | 58 | 54% |
| 볼린저 밴드 돌파 n=21, k=1.8 |
8.6% | -51.1% | 0.41 | 0.17 | 3.5x | 140 | 36% |
| ROC 모멘텀 n=22, threshold=0.08 |
4.9% | -64.6% | 0.32 | 0.08 | 2.0x | 285 | 35% |
| Buy and hold | 15.1% | -73.0% | 0.54 | 0.21 | 8.2x | 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)