Trend-Following Backtester · Guide · backtest 한국어
equity · CN
YTO Express Group Co.,Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of YTO Express Group Co.,Ltd. Class A. 8 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 8.7%, MDD -28.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 5.2%, drawdown -81.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 13.9%, MDD -43.9%, Sharpe 0.63, 30% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 37.8%p (CAGR 8.7%, MDD -28.5%, exposure 7%).
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=54, k=2.2 |
13.9% | -43.9% | 0.63 | 0.32 | 30.9x | 78 | 30% |
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=20, mult=3.6 |
8.7% | -28.5% | 0.61 | 0.31 | 9.1x | 32 | 7% |
| Donchian 채널 돌파 entryN=69, exitN=21 |
11.1% | -54.7% | 0.54 | 0.20 | 15.8x | 66 | 28% |
| ADX / DI 방향성 period=17, threshold=28 |
7.8% | -43.1% | 0.47 | 0.18 | 7.2x | 102 | 17% |
| ROC 모멘텀 n=37, threshold=0.1 |
9.0% | -60.8% | 0.46 | 0.15 | 9.6x | 288 | 25% |
| EMA 크로스오버 fast=15, slow=93 |
9.3% | -67.5% | 0.44 | 0.14 | 10.4x | 84 | 46% |
| Supertrend period=22, mult=4.9 |
8.9% | -59.1% | 0.43 | 0.15 | 9.3x | 75 | 50% |
| SMA 크로스오버 fast=21, slow=130 |
8.3% | -64.6% | 0.41 | 0.13 | 8.2x | 58 | 46% |
| MACD fast=20, slow=55, signal=24 |
3.2% | -83.0% | 0.26 | 0.04 | 2.3x | 219 | 53% |
| Parabolic SAR step=0.015, maxStep=0.14 |
0.7% | -80.9% | 0.18 | 0.01 | 1.2x | 427 | 50% |
| Buy and hold | 5.2% | -81.7% | 0.33 | 0.06 | 3.8x | 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 54-day average (2.2× volatility)
- Sell — Sell when the close falls back to the 54-day middle average