Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Youngor Fashion Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Youngor Fashion Co., Ltd. Class A. 4 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.4%, MDD -53.5%).
Results by strategy
4 of 10 beat buy and hold (CAGR 11.1%, drawdown -83.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.9%, MDD -44.4%, Sharpe 0.59, 18% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 13.1%, MDD -73.5%, exposure 56%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.2%p lower than buy and hold, while drawdown improves by 38.8%p (CAGR 11.4%, MDD -53.5%, exposure 19%).
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=50, k=3 |
9.9% | -44.4% | 0.59 | 0.22 | 13.7x | 43 | 18% |
| ADX / DI 방향성 period=38, threshold=16 |
9.0% | -54.9% | 0.51 | 0.16 | 11.0x | 104 | 29% |
| Donchian 채널 돌파 entryN=44, exitN=60 |
13.1% | -73.5% | 0.42 | 0.18 | 30.9x | 61 | 56% |
| SMA 크로스오버 fast=29, slow=117 |
12.8% | -62.1% | 0.41 | 0.21 | 28.4x | 69 | 51% |
| ROC 모멘텀 n=38, threshold=0.1 |
6.1% | -53.8% | 0.40 | 0.11 | 5.2x | 261 | 19% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=18, mult=3.7 |
11.4% | -53.5% | 0.39 | 0.21 | 20.5x | 50 | 19% |
| Supertrend period=6, mult=3.7 |
11.1% | -68.5% | 0.38 | 0.16 | 18.8x | 127 | 55% |
| EMA 크로스오버 fast=12, slow=34 |
10.7% | -65.0% | 0.37 | 0.16 | 17.0x | 189 | 50% |
| Parabolic SAR step=0.005, maxStep=0.16 |
9.4% | -68.8% | 0.34 | 0.14 | 12.3x | 193 | 48% |
| MACD fast=19, slow=59, signal=19 |
0.4% | -77.1% | 0.14 | 0.01 | 1.1x | 267 | 50% |
| Buy and hold | 11.1% | -83.1% | 0.39 | 0.13 | 18.7x | 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 50-day average (3× volatility)
- Sell — Sell when the close falls back to the 50-day middle average