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 Supertrend (CAGR 11.1%, MDD -38.5%).
Results by strategy
1 of 10 beat buy and hold (CAGR 12.2%, drawdown -72.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 13.2%, MDD -69.4%, Sharpe 0.56, 66% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.0%p higher than buy and hold, while drawdown improves by 2.7%p (CAGR 11.1%, MDD -38.5%, exposure 52%).
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=22, exitN=40 |
13.2% | -69.4% | 0.56 | 0.19 | 6.6x | 52 | 66% |
| MACD fast=27, slow=111, signal=22 |
12.0% | -55.0% | 0.55 | 0.22 | 5.7x | 88 | 51% |
| Supertrend period=14, mult=2.4 |
11.1% | -38.5% | 0.52 | 0.29 | 5.0x | 118 | 52% |
| SMA 크로스오버 fast=29, slow=103 |
11.4% | -59.3% | 0.51 | 0.19 | 5.2x | 41 | 56% |
| 볼린저 밴드 돌파 n=55, k=1 |
10.5% | -49.0% | 0.51 | 0.21 | 4.6x | 78 | 47% |
| Parabolic SAR step=0.005, maxStep=0.38 |
10.2% | -41.3% | 0.49 | 0.25 | 4.4x | 116 | 51% |
| EMA 크로스오버 fast=22, slow=34 |
10.4% | -72.8% | 0.48 | 0.14 | 4.5x | 62 | 56% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=19, mult=1.1 |
7.8% | -46.8% | 0.42 | 0.17 | 3.1x | 114 | 46% |
| ROC 모멘텀 n=35, threshold=-0.04 |
7.4% | -66.3% | 0.39 | 0.11 | 3.0x | 198 | 67% |
| ADX / DI 방향성 period=39, threshold=9 |
6.0% | -54.0% | 0.35 | 0.11 | 2.4x | 148 | 61% |
| Buy and hold | 12.2% | -72.1% | 0.50 | 0.17 | 5.8x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 40 days