Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guanghui Energy Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guanghui Energy Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.8%, MDD -55.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 9.1%, drawdown -81.5%).
Sharpe leader (same as main): Supertrend — CAGR 11.8%, MDD -55.0%, Sharpe 0.52, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 11.8%, MDD -55.0%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=3.4 |
11.8% | -55.0% | 0.52 | 0.21 | 18.3x | 129 | 47% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
11.0% | -63.6% | 0.50 | 0.17 | 15.2x | 108 | 36% |
| Donchian 채널 돌파 entryN=24, exitN=26 |
10.2% | -70.6% | 0.46 | 0.14 | 12.7x | 117 | 54% |
| EMA 크로스오버 fast=55, slow=78 |
10.2% | -75.7% | 0.46 | 0.13 | 12.6x | 46 | 48% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=1.8 |
9.0% | -65.9% | 0.44 | 0.14 | 9.5x | 136 | 34% |
| SMA 크로스오버 fast=11, slow=209 |
8.9% | -82.1% | 0.43 | 0.11 | 9.4x | 58 | 46% |
| ROC 모멘텀 n=114, threshold=0.12 |
7.7% | -76.8% | 0.40 | 0.10 | 7.0x | 178 | 33% |
| Parabolic SAR step=0.005, maxStep=0.2 |
7.0% | -63.0% | 0.38 | 0.11 | 5.9x | 213 | 48% |
| MACD fast=19, slow=38, signal=17 |
5.7% | -53.5% | 0.34 | 0.11 | 4.3x | 273 | 52% |
| ADX / DI 방향성 period=19, threshold=16 |
3.9% | -78.8% | 0.28 | 0.05 | 2.7x | 306 | 41% |
| Buy and hold | 9.1% | -81.5% | 0.42 | 0.11 | 9.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)