Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Bank of Hangzhou Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Bank of Hangzhou Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 4.7%, MDD -17.6%).
Results by strategy
0 of 10 beat buy and hold (CAGR 4.7%, drawdown -50.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.7%, MDD -17.6%, Sharpe 0.38, 29% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.0%p lower than buy and hold, while drawdown improves by 33.1%p (CAGR 4.7%, MDD -17.6%, exposure 29%).
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=87, exitN=36 |
4.7% | -17.6% | 0.38 | 0.27 | 1.6x | 14 | 29% |
| ADX / DI 방향성 period=34, threshold=23 |
3.6% | -22.9% | 0.35 | 0.16 | 1.4x | 8 | 13% |
| ROC 모멘텀 n=110, threshold=0.24 |
3.0% | -19.5% | 0.33 | 0.15 | 1.3x | 14 | 8% |
| 볼린저 밴드 돌파 n=55, k=3 |
3.3% | -18.5% | 0.32 | 0.18 | 1.4x | 12 | 15% |
| SMA 크로스오버 fast=48, slow=144 |
4.1% | -33.7% | 0.31 | 0.12 | 1.5x | 16 | 42% |
| Supertrend period=22, mult=5 |
2.6% | -38.2% | 0.23 | 0.07 | 1.3x | 21 | 54% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=12, mult=2.5 |
2.1% | -30.0% | 0.22 | 0.07 | 1.2x | 29 | 23% |
| EMA 크로스오버 fast=32, slow=157 |
0.7% | -51.4% | 0.13 | 0.01 | 1.1x | 21 | 46% |
| Parabolic SAR step=0.01, maxStep=0.1 |
-2.0% | -39.8% | -0.00 | -0.05 | 0.8x | 119 | 47% |
| MACD fast=16, slow=35, signal=15 |
-2.0% | -41.4% | -0.02 | -0.05 | 0.8x | 117 | 46% |
| Buy and hold | 4.7% | -50.7% | 0.31 | 0.09 | 1.6x | 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 87 days
- Sell — Sell when price breaks below the lowest low of the last 36 days