Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangxi Huaxi Nonferrous Metal Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangxi Huaxi Nonferrous Metal Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.5%, MDD -54.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.6%, drawdown -83.4%).
Sharpe leader (same as main): Supertrend — CAGR 13.9%, MDD -55.1%, Sharpe 0.57, 53% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.4%p higher than buy and hold, while drawdown improves by 28.3%p (CAGR 8.5%, MDD -54.0%, exposure 42%).
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=7, mult=2 |
13.9% | -55.1% | 0.57 | 0.25 | 30.2x | 275 | 53% |
| Donchian 채널 돌파 entryN=19, exitN=57 |
11.4% | -71.7% | 0.48 | 0.16 | 16.7x | 75 | 69% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=29, mult=0.7 |
8.5% | -54.0% | 0.42 | 0.16 | 8.5x | 290 | 42% |
| 볼린저 밴드 돌파 n=32, k=0.9 |
8.5% | -55.5% | 0.42 | 0.15 | 8.4x | 262 | 43% |
| MACD fast=13, slow=55, signal=12 |
7.5% | -68.1% | 0.39 | 0.11 | 6.6x | 351 | 53% |
| SMA 크로스오버 fast=11, slow=94 |
7.6% | -73.6% | 0.39 | 0.10 | 6.8x | 100 | 50% |
| EMA 크로스오버 fast=7, slow=22 |
7.3% | -64.6% | 0.38 | 0.11 | 6.4x | 277 | 51% |
| ADX / DI 방향성 period=15, threshold=11 |
6.7% | -69.3% | 0.36 | 0.10 | 5.5x | 429 | 53% |
| Parabolic SAR step=0.005, maxStep=0.18 |
6.6% | -63.5% | 0.36 | 0.10 | 5.3x | 197 | 50% |
| ROC 모멘텀 n=146, threshold=-0.03 |
6.3% | -75.4% | 0.35 | 0.08 | 5.0x | 196 | 56% |
| Buy and hold | 6.6% | -83.4% | 0.37 | 0.08 | 5.3x | 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) — 7-day volatility, 2× band
- Sell — Sell when price drops below the trend line (flips down)