Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Honor Electronic Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Honor Electronic Co. Ltd. Class A. 8 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 20.5%, MDD -21.8%).
Results by strategy
8 of 10 beat buy and hold (CAGR 19.7%, drawdown -72.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 20.5%, MDD -21.8%, Sharpe 0.86, 7% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 34.5%, MDD -45.6%, exposure 55%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 50.6%p (CAGR 20.5%, MDD -21.8%, exposure 7%).
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=19, k=3.3 |
20.5% | -21.8% | 0.86 | 0.94 | 3.0x | 6 | 7% |
| SMA 크로스오버 fast=11, slow=66 |
34.5% | -45.6% | 0.83 | 0.76 | 5.8x | 24 | 55% |
| Donchian 채널 돌파 entryN=16, exitN=33 |
34.0% | -56.3% | 0.81 | 0.60 | 5.7x | 18 | 60% |
| Supertrend period=9, mult=3.3 |
29.6% | -54.2% | 0.75 | 0.55 | 4.7x | 30 | 62% |
| ADX / DI 방향성 period=20, threshold=7 |
29.5% | -49.2% | 0.74 | 0.60 | 4.6x | 80 | 64% |
| MACD fast=16, slow=53, signal=17 |
23.9% | -54.9% | 0.69 | 0.44 | 3.6x | 58 | 50% |
| Keltner 채널 돌파 emaPeriod=15, atrPeriod=8, mult=2.9 |
14.7% | -21.4% | 0.68 | 0.69 | 2.3x | 8 | 7% |
| EMA 크로스오버 fast=32, slow=150 |
23.5% | -56.0% | 0.67 | 0.42 | 3.5x | 7 | 47% |
| ROC 모멘텀 n=9, threshold=0.01 |
21.4% | -51.2% | 0.64 | 0.42 | 3.2x | 194 | 45% |
| Parabolic SAR step=0.015, maxStep=0.32 |
5.3% | -62.0% | 0.36 | 0.09 | 1.4x | 102 | 51% |
| Buy and hold | 19.7% | -72.3% | 0.61 | 0.27 | 2.9x | 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 19-day average (3.3× volatility)
- Sell — Sell when the close falls back to the 19-day middle average