Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yutong Bus Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yutong Bus Co., Ltd. Class A. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.4%, MDD -40.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 9.7%, drawdown -76.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.5%, MDD -70.9%, Sharpe 0.48, 70% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 5.8%p (CAGR 9.4%, MDD -40.8%, exposure 42%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=20, exitN=50 |
10.5% | -70.9% | 0.48 | 0.15 | 18.6x | 85 | 70% |
| 볼린저 밴드 돌파 n=73, k=1.2 |
9.4% | -40.8% | 0.48 | 0.23 | 13.9x | 120 | 42% |
| SMA 크로스오버 fast=15, slow=69 |
9.2% | -56.1% | 0.46 | 0.16 | 13.1x | 124 | 53% |
| ADX / DI 방향성 period=50, threshold=10 |
8.8% | -70.6% | 0.45 | 0.12 | 11.9x | 180 | 48% |
| EMA 크로스오버 fast=36, slow=97 |
8.6% | -67.0% | 0.43 | 0.13 | 11.1x | 68 | 56% |
| Supertrend period=5, mult=4.9 |
7.7% | -61.6% | 0.40 | 0.12 | 8.8x | 79 | 62% |
| Keltner 채널 돌파 emaPeriod=67, atrPeriod=24, mult=2.5 |
6.1% | -54.0% | 0.37 | 0.11 | 5.7x | 104 | 33% |
| ROC 모멘텀 n=117, threshold=0 |
5.3% | -71.0% | 0.33 | 0.08 | 4.6x | 278 | 56% |
| Parabolic SAR step=0.005, maxStep=0.3 |
1.5% | -80.3% | 0.19 | 0.02 | 1.5x | 228 | 51% |
| MACD fast=18, slow=54, signal=9 |
-0.9% | -87.2% | 0.10 | -0.01 | 0.8x | 408 | 51% |
| Buy and hold | 9.7% | -76.7% | 0.44 | 0.13 | 15.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 20 days
- Sell — Sell when price breaks below the lowest low of the last 50 days