Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yonyou Network Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yonyou Network Technology Co. Ltd. Class A. 7 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.5%, MDD -50.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 5.9%, drawdown -84.6%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 14.1%, MDD -62.6%, Sharpe 0.54, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.1%p higher than buy and hold, while drawdown improves by 21.9%p (CAGR 7.5%, MDD -50.4%, exposure 21%).
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 |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=133, threshold=0.03 |
14.1% | -62.6% | 0.54 | 0.22 | 28.2x | 174 | 48% |
| SMA 크로스오버 fast=26, slow=161 |
13.1% | -65.7% | 0.52 | 0.20 | 22.7x | 46 | 51% |
| Donchian 채널 돌파 entryN=85, exitN=77 |
11.7% | -60.9% | 0.48 | 0.19 | 16.4x | 30 | 51% |
| EMA 크로스오버 fast=51, slow=116 |
11.5% | -71.2% | 0.48 | 0.16 | 15.7x | 36 | 50% |
| Parabolic SAR step=0.005, maxStep=0.26 |
9.1% | -67.3% | 0.43 | 0.14 | 9.1x | 200 | 48% |
| Keltner 채널 돌파 emaPeriod=62, atrPeriod=15, mult=3.6 |
7.5% | -50.4% | 0.40 | 0.15 | 6.2x | 50 | 21% |
| MACD fast=23, slow=37, signal=29 |
7.0% | -76.4% | 0.37 | 0.09 | 5.5x | 216 | 52% |
| 볼린저 밴드 돌파 n=48, k=1.7 |
5.3% | -67.5% | 0.32 | 0.08 | 3.7x | 120 | 30% |
| Supertrend period=10, mult=4.7 |
4.8% | -72.6% | 0.32 | 0.07 | 3.3x | 82 | 57% |
| ADX / DI 방향성 period=16, threshold=23 |
1.4% | -68.8% | 0.20 | 0.02 | 1.4x | 200 | 23% |
| Buy and hold | 5.9% | -84.6% | 0.36 | 0.07 | 4.3x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 133-day return is greater than 3%
- Sell — Sell when the 133-day return drops to 3% or below