Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wen's Foodstuff Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wen's Foodstuff Group Co., Ltd. Class A. 9 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 0.9%, MDD -17.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -7.4%, drawdown -69.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 2.4%, MDD -34.5%, Sharpe 0.23, 20% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.8%p higher than buy and hold, while drawdown improves by 34.4%p (CAGR 0.9%, MDD -17.9%, exposure 2%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=168, threshold=0.13 |
2.4% | -34.5% | 0.23 | 0.07 | 1.3x | 44 | 20% |
| SMA 크로스오버 fast=18, slow=191 |
1.8% | -31.0% | 0.19 | 0.06 | 1.2x | 16 | 34% |
| Donchian 채널 돌파 entryN=80, exitN=20 |
1.1% | -44.4% | 0.15 | 0.02 | 1.1x | 18 | 19% |
| Keltner 채널 돌파 emaPeriod=31, atrPeriod=11, mult=4 |
0.9% | -17.9% | 0.15 | 0.05 | 1.1x | 4 | 2% |
| EMA 크로스오버 fast=53, slow=92 |
0.2% | -44.9% | 0.12 | 0.00 | 1.0x | 14 | 35% |
| ADX / DI 방향성 period=34, threshold=18 |
0.4% | -32.1% | 0.10 | 0.01 | 1.0x | 22 | 12% |
| MACD fast=7, slow=56, signal=18 |
-1.3% | -56.7% | 0.07 | -0.02 | 0.9x | 141 | 49% |
| 볼린저 밴드 돌파 n=57, k=2.4 |
-0.6% | -48.3% | 0.04 | -0.01 | 0.9x | 28 | 20% |
| Supertrend period=15, mult=1.9 |
-6.2% | -67.4% | -0.16 | -0.09 | 0.5x | 123 | 45% |
| Parabolic SAR step=0.015, maxStep=0.2 |
-11.0% | -74.5% | -0.39 | -0.15 | 0.3x | 177 | 45% |
| Buy and hold | -7.4% | -69.0% | -0.07 | -0.11 | 0.4x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 168-day return is greater than 13%
- Sell — Sell when the 168-day return drops to 13% or below