Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sailun Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sailun Group Co., Ltd. Class A. 1 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 13.2%, MDD -54.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.8%, drawdown -72.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -54.0%, Sharpe 0.56, 62% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.4%p higher than buy and hold, while drawdown improves by 18.1%p (CAGR 13.2%, MDD -54.0%, exposure 62%).
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=14, exitN=23 |
13.2% | -54.0% | 0.56 | 0.25 | 6.5x | 79 | 62% |
| 볼린저 밴드 돌파 n=55, k=1 |
10.9% | -49.0% | 0.52 | 0.22 | 4.8x | 77 | 47% |
| MACD fast=53, slow=69, signal=15 |
11.0% | -55.6% | 0.52 | 0.20 | 4.8x | 89 | 51% |
| SMA 크로스오버 fast=31, slow=82 |
10.9% | -60.1% | 0.50 | 0.18 | 4.7x | 44 | 55% |
| Parabolic SAR step=0.005, maxStep=0.12 |
10.2% | -41.3% | 0.49 | 0.25 | 4.3x | 115 | 51% |
| Supertrend period=24, mult=2.4 |
9.4% | -56.4% | 0.47 | 0.17 | 3.9x | 121 | 53% |
| EMA 크로스오버 fast=31, slow=82 |
8.2% | -62.5% | 0.42 | 0.13 | 3.3x | 36 | 56% |
| Keltner 채널 돌파 emaPeriod=47, atrPeriod=24, mult=1.1 |
7.7% | -48.8% | 0.41 | 0.16 | 3.0x | 115 | 45% |
| ROC 모멘텀 n=35, threshold=-0.04 |
8.0% | -66.3% | 0.41 | 0.12 | 3.2x | 197 | 67% |
| ADX / DI 방향성 period=50, threshold=5 |
6.2% | -62.6% | 0.35 | 0.10 | 2.5x | 119 | 66% |
| Buy and hold | 12.8% | -72.1% | 0.51 | 0.18 | 6.2x | 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 14 days
- Sell — Sell when price breaks below the lowest low of the last 23 days