Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Range Intelligent Computing Technology Group Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Range Intelligent Computing Technology Group Company Limited Class A. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.2%, MDD -39.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 13.7%, drawdown -92.9%).
Sharpe leader (same as main): Supertrend — CAGR 23.7%, MDD -62.8%, Sharpe 0.76, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 9.9%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 16.2%, MDD -39.9%, exposure 34%).
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=9, mult=1.7 |
23.7% | -62.8% | 0.76 | 0.38 | 11.1x | 134 | 44% |
| Donchian 채널 돌파 entryN=42, exitN=17 |
16.2% | -39.9% | 0.61 | 0.41 | 5.5x | 32 | 34% |
| Parabolic SAR step=0.025, maxStep=0.16 |
16.2% | -68.8% | 0.58 | 0.24 | 5.5x | 250 | 47% |
| 볼린저 밴드 돌파 n=33, k=1.2 |
12.2% | -56.8% | 0.51 | 0.21 | 3.7x | 82 | 37% |
| ROC 모멘텀 n=145, threshold=-0.11 |
11.7% | -56.1% | 0.48 | 0.21 | 3.5x | 80 | 63% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=15, mult=2.2 |
9.7% | -57.7% | 0.45 | 0.17 | 2.9x | 48 | 27% |
| EMA 크로스오버 fast=54, slow=201 |
9.6% | -50.8% | 0.44 | 0.19 | 2.8x | 16 | 50% |
| MACD fast=14, slow=33, signal=7 |
8.8% | -63.2% | 0.42 | 0.14 | 2.6x | 180 | 52% |
| SMA 크로스오버 fast=28, slow=212 |
6.4% | -58.9% | 0.36 | 0.11 | 2.0x | 22 | 47% |
| ADX / DI 방향성 period=40, threshold=18 |
6.1% | -47.3% | 0.35 | 0.13 | 2.0x | 22 | 20% |
| Buy and hold | 13.7% | -92.9% | 0.51 | 0.15 | 4.3x | 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) — 9-day volatility, 1.7× band
- Sell — Sell when price drops below the trend line (flips down)