Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai International Port (Group) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai International Port (Group) Co., Ltd. Class A. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 3.6%, MDD -30.3%).
Results by strategy
8 of 10 beat buy and hold (CAGR -2.4%, drawdown -87.0%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 3.6%, MDD -30.3%, Sharpe 0.31, 9% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 3.9%, MDD -46.5%, exposure 46%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.0%p higher than buy and hold, while drawdown improves by 56.7%p (CAGR 3.6%, MDD -30.3%, exposure 9%).
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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=20, mult=2.6 |
3.6% | -30.3% | 0.31 | 0.12 | 2.5x | 66 | 9% |
| SMA 크로스오버 fast=49, slow=104 |
3.9% | -46.5% | 0.28 | 0.08 | 2.7x | 62 | 46% |
| Donchian 채널 돌파 entryN=101, exitN=38 |
3.0% | -48.7% | 0.25 | 0.06 | 2.2x | 42 | 28% |
| 볼린저 밴드 돌파 n=42, k=2.8 |
2.8% | -40.4% | 0.25 | 0.07 | 2.0x | 70 | 17% |
| ADX / DI 방향성 period=14, threshold=39 |
1.8% | -34.5% | 0.20 | 0.05 | 1.6x | 50 | 8% |
| Parabolic SAR step=0.005, maxStep=0.1 |
1.2% | -67.9% | 0.17 | 0.02 | 1.4x | 179 | 48% |
| Supertrend period=16, mult=4.6 |
-1.8% | -83.8% | 0.14 | -0.02 | 0.6x | 71 | 52% |
| ROC 모멘텀 n=99, threshold=0.09 |
-0.6% | -71.7% | 0.08 | -0.01 | 0.9x | 226 | 27% |
| EMA 크로스오버 fast=42, slow=108 |
-5.7% | -91.2% | -0.01 | -0.06 | 0.2x | 54 | 44% |
| MACD fast=22, slow=53, signal=19 |
-3.5% | -81.5% | -0.01 | -0.04 | 0.4x | 257 | 52% |
| Buy and hold | -2.4% | -87.0% | 0.17 | -0.03 | 0.5x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 16-day average + 2.6× volatility (Keltner top)
- Sell — Sell when the close falls back to the 16-day average