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; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 18.3%, MDD -53.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 20.9%, drawdown -72.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 15.3%, MDD -37.2%, Sharpe 0.62, 15% exposure.
CAGR reference leader: Supertrend — CAGR 18.3%, MDD -53.2%, exposure 43%.
Return/drawdown alternative: Supertrend — CAGR is 5.6%p lower than buy and hold, while drawdown improves by 35.5%p (CAGR 18.3%, MDD -53.2%, exposure 43%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=14, k=2.5 |
15.3% | -37.2% | 0.62 | 0.41 | 4.0x | 54 | 15% |
| Supertrend period=27, mult=2.6 |
18.3% | -53.2% | 0.61 | 0.34 | 5.1x | 70 | 43% |
| Parabolic SAR step=0.01, maxStep=0.32 |
16.7% | -75.4% | 0.57 | 0.22 | 4.4x | 124 | 49% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=26, mult=1.1 |
14.5% | -74.8% | 0.53 | 0.19 | 3.7x | 86 | 38% |
| ADX / DI 방향성 period=17, threshold=25 |
11.6% | -51.0% | 0.48 | 0.23 | 2.9x | 50 | 26% |
| EMA 크로스오버 fast=38, slow=216 |
10.6% | -65.2% | 0.46 | 0.16 | 2.6x | 15 | 52% |
| ROC 모멘텀 n=18, threshold=0.02 |
8.8% | -72.5% | 0.42 | 0.12 | 2.3x | 198 | 45% |
| Donchian 채널 돌파 entryN=107, exitN=16 |
7.4% | -58.3% | 0.38 | 0.13 | 2.0x | 22 | 19% |
| MACD fast=8, slow=46, signal=16 |
6.4% | -76.0% | 0.37 | 0.08 | 1.8x | 160 | 50% |
| SMA 크로스오버 fast=57, slow=205 |
5.8% | -63.5% | 0.37 | 0.09 | 1.7x | 13 | 53% |
| Buy and hold | 20.9% | -72.7% | 0.62 | 0.29 | 6.3x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 14-day average (2.5× volatility)
- Sell — Sell when the close falls back to the 14-day middle average