Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beijing Compass Technology Development Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beijing Compass Technology Development 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 47.0%, drawdown -64.6%).
Sharpe leader (same as main): Supertrend — CAGR 40.0%, MDD -53.8%, Sharpe 0.90, 72% 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=5, mult=5 |
40.0% | -53.8% | 0.90 | 0.74 | 9.8x | 13 | 72% |
| Donchian 채널 돌파 entryN=66, exitN=9 |
23.3% | -28.6% | 0.81 | 0.81 | 4.1x | 16 | 14% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=28, mult=3 |
18.4% | -31.5% | 0.80 | 0.58 | 3.1x | 12 | 5% |
| Parabolic SAR step=0.045, maxStep=0.18 |
25.2% | -63.9% | 0.71 | 0.39 | 4.6x | 199 | 49% |
| ROC 모멘텀 n=46, threshold=0.14 |
20.7% | -49.9% | 0.67 | 0.41 | 3.6x | 60 | 25% |
| ADX / DI 방향성 period=25, threshold=36 |
13.7% | -32.9% | 0.64 | 0.42 | 2.4x | 6 | 10% |
| 볼린저 밴드 돌파 n=59, k=1.6 |
14.6% | -55.1% | 0.54 | 0.26 | 2.5x | 24 | 28% |
| EMA 크로스오버 fast=40, slow=49 |
14.4% | -55.6% | 0.53 | 0.26 | 2.5x | 24 | 49% |
| SMA 크로스오버 fast=15, slow=120 |
12.9% | -46.5% | 0.50 | 0.28 | 2.3x | 16 | 47% |
| MACD fast=17, slow=30, signal=12 |
12.0% | -57.3% | 0.48 | 0.21 | 2.2x | 87 | 46% |
| Buy and hold | 47.0% | -64.6% | 0.94 | 0.73 | 13.7x | 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) — 5-day volatility, 5× band
- Sell — Sell when price drops below the trend line (flips down)