Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yunnan Yuntianhua Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yunnan Yuntianhua Co. Ltd. Class A. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.4%, MDD -65.0%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.7%, drawdown -93.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.4%, MDD -65.0%, Sharpe 0.39, 43% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.8%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 7.4%, MDD -65.0%, exposure 43%).
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=116, exitN=81 |
7.4% | -65.0% | 0.39 | 0.11 | 8.1x | 32 | 43% |
| SMA 크로스오버 fast=29, slow=142 |
7.3% | -77.2% | 0.38 | 0.09 | 7.7x | 72 | 49% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=25, mult=3.6 |
5.3% | -55.6% | 0.33 | 0.09 | 4.5x | 66 | 20% |
| ADX / DI 방향성 period=18, threshold=25 |
5.2% | -66.5% | 0.33 | 0.08 | 4.4x | 140 | 22% |
| EMA 크로스오버 fast=58, slow=174 |
5.5% | -79.3% | 0.33 | 0.07 | 4.8x | 40 | 47% |
| ROC 모멘텀 n=91, threshold=0.2 |
5.0% | -60.0% | 0.32 | 0.08 | 4.1x | 164 | 21% |
| MACD fast=19, slow=48, signal=11 |
4.9% | -60.7% | 0.31 | 0.08 | 4.0x | 341 | 53% |
| Supertrend period=13, mult=2 |
4.5% | -57.1% | 0.30 | 0.08 | 3.6x | 317 | 49% |
| 볼린저 밴드 돌파 n=36, k=2.2 |
3.9% | -56.1% | 0.28 | 0.07 | 3.1x | 144 | 28% |
| Parabolic SAR step=0.015, maxStep=0.36 |
2.2% | -71.1% | 0.23 | 0.03 | 1.9x | 471 | 50% |
| Buy and hold | 5.7% | -93.7% | 0.35 | 0.06 | 5.0x | 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 116 days
- Sell — Sell when price breaks below the lowest low of the last 81 days