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; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.9%, MDD -66.2%).
Results by strategy
7 of 10 beat buy and hold (CAGR 6.7%, drawdown -84.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.6%, MDD -67.0%, Sharpe 0.56, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.9%p higher than buy and hold, while drawdown improves by 17.5%p (CAGR 7.9%, MDD -66.2%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=160, exitN=146 |
14.6% | -67.0% | 0.56 | 0.22 | 31.3x | 12 | 44% |
| ROC 모멘텀 n=138, threshold=-0.03 |
14.2% | -69.5% | 0.54 | 0.20 | 28.3x | 170 | 55% |
| SMA 크로스오버 fast=16, slow=209 |
12.3% | -71.5% | 0.50 | 0.17 | 18.4x | 38 | 51% |
| EMA 크로스오버 fast=54, slow=113 |
11.2% | -73.7% | 0.47 | 0.15 | 14.6x | 36 | 51% |
| Parabolic SAR step=0.005, maxStep=0.12 |
9.6% | -67.3% | 0.44 | 0.14 | 10.0x | 199 | 48% |
| 볼린저 밴드 돌파 n=65, k=1.6 |
8.3% | -70.6% | 0.41 | 0.12 | 7.5x | 96 | 34% |
| Keltner 채널 돌파 emaPeriod=66, atrPeriod=24, mult=1.4 |
7.9% | -66.2% | 0.40 | 0.12 | 6.8x | 140 | 39% |
| Supertrend period=8, mult=4.7 |
5.3% | -68.0% | 0.33 | 0.08 | 3.7x | 82 | 57% |
| MACD fast=19, slow=58, signal=15 |
4.6% | -71.4% | 0.31 | 0.06 | 3.1x | 279 | 51% |
| ADX / DI 방향성 period=16, threshold=24 |
2.0% | -66.0% | 0.21 | 0.03 | 1.6x | 166 | 21% |
| Buy and hold | 6.7% | -84.6% | 0.38 | 0.08 | 5.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 160 days
- Sell — Sell when price breaks below the lowest low of the last 146 days