Trend-Following Backtester · Guide · backtest 한국어
equity · CN
LONGi Green Energy Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of LONGi Green Energy Technology Co., Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 30.8%, MDD -37.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 19.0%, drawdown -83.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 30.8%, MDD -37.6%, Sharpe 0.99, 41% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 32.8%, MDD -40.2%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 11.9%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 30.8%, MDD -37.6%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=1.2 |
30.8% | -37.6% | 0.99 | 0.82 | 46.8x | 52 | 41% |
| Donchian 채널 돌파 entryN=26, exitN=29 |
32.8% | -40.2% | 0.97 | 0.82 | 57.8x | 42 | 54% |
| EMA 크로스오버 fast=6, slow=44 |
31.4% | -48.4% | 0.96 | 0.65 | 49.9x | 90 | 51% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=24, mult=0.8 |
30.0% | -45.7% | 0.94 | 0.66 | 42.5x | 96 | 46% |
| ADX / DI 방향성 period=34, threshold=11 |
29.0% | -42.5% | 0.91 | 0.68 | 38.2x | 101 | 50% |
| MACD fast=17, slow=50, signal=19 |
26.2% | -63.6% | 0.86 | 0.41 | 28.0x | 137 | 52% |
| Supertrend period=14, mult=3.2 |
25.3% | -71.0% | 0.85 | 0.36 | 25.2x | 72 | 49% |
| ROC 모멘텀 n=47, threshold=0.08 |
24.4% | -46.3% | 0.84 | 0.53 | 22.7x | 116 | 37% |
| SMA 크로스오버 fast=50, slow=152 |
26.5% | -57.4% | 0.82 | 0.46 | 28.9x | 22 | 56% |
| Parabolic SAR step=0.005, maxStep=0.12 |
20.2% | -69.9% | 0.72 | 0.29 | 13.9x | 111 | 49% |
| Buy and hold | 19.0% | -83.8% | 0.61 | 0.23 | 12.0x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 59-day middle average