Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hunan Goke Microelectronics Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hunan Goke Microelectronics Co., Ltd. Class A. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 37.3%, MDD -49.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 40.9%, drawdown -84.0%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 27.1%, MDD -23.0%, Sharpe 1.00, 10% exposure.
CAGR reference leader: Supertrend — CAGR 37.3%, MDD -49.1%, exposure 45%.
Return/drawdown alternative: Supertrend — CAGR is 13.9%p lower than buy and hold, while drawdown improves by 61.0%p (CAGR 37.3%, MDD -49.1%, exposure 45%).
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=5, threshold=0.13 |
27.1% | -23.0% | 1.00 | 1.17 | 8.9x | 128 | 10% |
| Supertrend period=14, mult=1.6 |
37.3% | -49.1% | 0.93 | 0.76 | 18.1x | 126 | 45% |
| Parabolic SAR step=0.01, maxStep=0.22 |
36.3% | -52.0% | 0.91 | 0.70 | 16.9x | 112 | 46% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=1.7 |
23.2% | -39.1% | 0.77 | 0.59 | 6.7x | 62 | 18% |
| 볼린저 밴드 돌파 n=16, k=1.4 |
25.1% | -54.5% | 0.75 | 0.46 | 7.7x | 132 | 33% |
| MACD fast=9, slow=30, signal=6 |
26.2% | -63.4% | 0.74 | 0.41 | 8.4x | 201 | 48% |
| Donchian 채널 돌파 entryN=11, exitN=32 |
27.9% | -71.8% | 0.73 | 0.39 | 9.5x | 49 | 73% |
| ADX / DI 방향성 period=34, threshold=9 |
25.1% | -60.7% | 0.70 | 0.41 | 7.8x | 68 | 65% |
| EMA 크로스오버 fast=32, slow=149 |
17.4% | -68.4% | 0.58 | 0.25 | 4.3x | 12 | 58% |
| SMA 크로스오버 fast=9, slow=198 |
14.1% | -72.1% | 0.52 | 0.20 | 3.3x | 20 | 54% |
| Buy and hold | 40.9% | -84.0% | 0.87 | 0.49 | 23.0x | 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 5-day return is greater than 13%
- Sell — Sell when the 5-day return drops to 13% or below