Trend-Following Backtester · Guide · backtest 한국어
equity · CN
T&S Communications Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of T&S Communications Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 27.9%, drawdown -72.7%).
Sharpe leader (same as main): Supertrend — CAGR 20.7%, MDD -53.2%, Sharpe 0.65, 43% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=27, mult=2.6 |
20.7% | -53.2% | 0.65 | 0.39 | 6.2x | 71 | 43% |
| Parabolic SAR step=0.01, maxStep=0.32 |
20.5% | -75.4% | 0.63 | 0.27 | 6.2x | 125 | 49% |
| 볼린저 밴드 돌파 n=14, k=2.5 |
15.5% | -37.2% | 0.62 | 0.42 | 4.1x | 55 | 15% |
| EMA 크로스오버 fast=38, slow=216 |
17.0% | -65.2% | 0.57 | 0.26 | 4.6x | 15 | 53% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=1.1 |
14.7% | -74.8% | 0.53 | 0.20 | 3.8x | 87 | 38% |
| ADX / DI 방향성 period=17, threshold=25 |
11.8% | -54.7% | 0.49 | 0.22 | 3.0x | 51 | 26% |
| SMA 크로스오버 fast=57, slow=205 |
12.0% | -63.5% | 0.48 | 0.19 | 3.0x | 13 | 53% |
| ROC 모멘텀 n=18, threshold=0.02 |
11.9% | -72.5% | 0.48 | 0.16 | 3.0x | 199 | 45% |
| MACD fast=8, slow=46, signal=16 |
10.2% | -76.0% | 0.44 | 0.13 | 2.6x | 161 | 50% |
| Donchian 채널 돌파 entryN=107, exitN=16 |
7.4% | -58.3% | 0.38 | 0.13 | 2.0x | 22 | 18% |
| Buy and hold | 27.9% | -72.7% | 0.71 | 0.38 | 11.0x | 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) — 27-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)