Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Ningbo Shanshan Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Ningbo Shanshan Co., Ltd. Class A. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.4%, MDD -31.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.9%, drawdown -85.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.6%, MDD -56.1%, Sharpe 0.62, 45% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.7%p higher than buy and hold, while drawdown improves by 29.6%p (CAGR 9.4%, MDD -31.4%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=33, exitN=28 |
16.6% | -56.1% | 0.62 | 0.30 | 108.7x | 100 | 45% |
| 볼린저 밴드 돌파 n=33, k=3.4 |
9.4% | -31.4% | 0.61 | 0.30 | 15.4x | 24 | 7% |
| Keltner 채널 돌파 emaPeriod=72, atrPeriod=14, mult=2.1 |
14.6% | -52.1% | 0.59 | 0.28 | 63.8x | 108 | 33% |
| EMA 크로스오버 fast=9, slow=38 |
13.6% | -59.2% | 0.54 | 0.23 | 49.5x | 212 | 49% |
| Supertrend period=13, mult=3.4 |
12.2% | -58.3% | 0.51 | 0.21 | 33.3x | 152 | 50% |
| SMA 크로스오버 fast=9, slow=60 |
12.4% | -67.6% | 0.51 | 0.18 | 35.5x | 180 | 49% |
| ROC 모멘텀 n=164, threshold=-0.03 |
12.4% | -65.1% | 0.50 | 0.19 | 35.0x | 161 | 54% |
| ADX / DI 방향성 period=27, threshold=18 |
9.4% | -47.5% | 0.46 | 0.20 | 15.7x | 148 | 29% |
| MACD fast=19, slow=33, signal=17 |
9.3% | -72.6% | 0.43 | 0.13 | 15.1x | 337 | 51% |
| Parabolic SAR step=0.005, maxStep=0.16 |
6.4% | -80.2% | 0.35 | 0.08 | 6.6x | 237 | 47% |
| Buy and hold | 9.9% | -85.7% | 0.44 | 0.12 | 17.7x | 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 33 days
- Sell — Sell when price breaks below the lowest low of the last 28 days