Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Nongfu Spring Co., Ltd. Class H backtest
10 trend-following strategies were compared on the full daily history of Nongfu Spring Co., Ltd. Class H. 5 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 11.4%, MDD -12.4%).
Results by strategy
5 of 10 beat buy and hold (CAGR 4.8%, drawdown -63.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 11.4%, MDD -12.4%, Sharpe 0.83, 12% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.6%p higher than buy and hold, while drawdown improves by 51.1%p (CAGR 11.4%, MDD -12.4%, exposure 12%).
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=37, k=3.2 |
11.4% | -12.4% | 0.83 | 0.92 | 1.9x | 6 | 12% |
| ADX / DI 방향성 period=19, threshold=30 |
7.3% | -13.1% | 0.58 | 0.56 | 1.5x | 8 | 8% |
| Keltner 채널 돌파 emaPeriod=29, atrPeriod=21, mult=2.9 |
6.3% | -23.3% | 0.47 | 0.27 | 1.4x | 10 | 13% |
| ROC 모멘텀 n=30, threshold=0.12 |
5.9% | -28.3% | 0.43 | 0.21 | 1.4x | 46 | 14% |
| Supertrend period=27, mult=4.5 |
7.8% | -40.9% | 0.42 | 0.19 | 1.6x | 14 | 50% |
| SMA 크로스오버 fast=34, slow=77 |
1.8% | -41.1% | 0.20 | 0.04 | 1.1x | 22 | 52% |
| MACD fast=27, slow=44, signal=20 |
-1.4% | -52.9% | 0.08 | -0.03 | 0.9x | 55 | 53% |
| Donchian 채널 돌파 entryN=42, exitN=15 |
-1.2% | -54.9% | 0.04 | -0.02 | 0.9x | 27 | 33% |
| EMA 크로스오버 fast=34, slow=57 |
-2.2% | -61.9% | 0.03 | -0.04 | 0.9x | 20 | 49% |
| Parabolic SAR step=0.015, maxStep=0.1 |
-8.4% | -60.8% | -0.20 | -0.14 | 0.6x | 95 | 52% |
| Buy and hold | 4.8% | -63.4% | 0.31 | 0.08 | 1.3x | 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 37-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 37-day middle average