Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Spacesat Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Spacesat Co., Ltd. Class A. 4 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 17.7%, MDD -66.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 14.5%, drawdown -83.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.7%, MDD -66.5%, Sharpe 0.65, 44% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.2%p higher than buy and hold, while drawdown improves by 16.6%p (CAGR 17.7%, MDD -66.5%, exposure 44%).
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=81, exitN=77 |
17.7% | -66.5% | 0.65 | 0.27 | 111.5x | 32 | 44% |
| EMA 크로스오버 fast=35, slow=74 |
17.2% | -67.6% | 0.62 | 0.25 | 98.9x | 74 | 50% |
| SMA 크로스오버 fast=37, slow=146 |
17.0% | -66.9% | 0.62 | 0.25 | 93.5x | 48 | 48% |
| ROC 모멘텀 n=96, threshold=0.08 |
14.6% | -70.8% | 0.58 | 0.21 | 51.6x | 208 | 37% |
| Supertrend period=12, mult=2.2 |
14.3% | -75.4% | 0.57 | 0.19 | 47.4x | 266 | 51% |
| 볼린저 밴드 돌파 n=52, k=3 |
11.9% | -63.5% | 0.56 | 0.19 | 25.4x | 62 | 21% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=11, mult=2.3 |
11.9% | -58.5% | 0.53 | 0.20 | 25.6x | 120 | 28% |
| Parabolic SAR step=0.01, maxStep=0.18 |
12.6% | -74.5% | 0.52 | 0.17 | 30.7x | 346 | 50% |
| MACD fast=9, slow=34, signal=9 |
11.3% | -72.8% | 0.49 | 0.15 | 21.9x | 554 | 51% |
| ADX / DI 방향성 period=15, threshold=26 |
6.2% | -68.9% | 0.36 | 0.09 | 5.7x | 194 | 24% |
| Buy and hold | 14.5% | -83.2% | 0.53 | 0.17 | 50.5x | 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 81 days
- Sell — Sell when price breaks below the lowest low of the last 77 days