Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangzhou Automobile Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangzhou Automobile Group Co., Ltd. Class A. 8 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 0.1%, MDD -47.0%).
Results by strategy
8 of 10 beat buy and hold (CAGR -1.6%, drawdown -76.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.7%, MDD -50.0%, Sharpe 0.40, 65% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.4%p higher than buy and hold, while drawdown improves by 26.1%p (CAGR 0.1%, MDD -47.0%, exposure 14%).
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=37, exitN=73 |
7.7% | -50.0% | 0.40 | 0.15 | 2.9x | 18 | 65% |
| SMA 크로스오버 fast=57, slow=142 |
4.0% | -54.3% | 0.29 | 0.07 | 1.8x | 26 | 48% |
| EMA 크로스오버 fast=37, slow=61 |
2.7% | -61.3% | 0.24 | 0.04 | 1.5x | 42 | 44% |
| ROC 모멘텀 n=69, threshold=-0.03 |
1.3% | -50.4% | 0.20 | 0.03 | 1.2x | 140 | 56% |
| ADX / DI 방향성 period=51, threshold=12 |
1.7% | -50.8% | 0.20 | 0.03 | 1.3x | 57 | 34% |
| Supertrend period=8, mult=4.7 |
0.2% | -59.9% | 0.17 | 0.00 | 1.0x | 38 | 60% |
| MACD fast=30, slow=39, signal=30 |
-0.2% | -71.6% | 0.13 | -0.00 | 1.0x | 101 | 48% |
| 볼린저 밴드 돌파 n=55, k=3.5 |
0.1% | -47.0% | 0.09 | 0.00 | 1.0x | 18 | 14% |
| Parabolic SAR step=0.01, maxStep=0.36 |
-5.3% | -83.2% | -0.08 | -0.06 | 0.5x | 181 | 43% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=28, mult=3 |
-3.0% | -57.1% | -0.10 | -0.05 | 0.6x | 48 | 14% |
| Buy and hold | -1.6% | -76.2% | 0.14 | -0.02 | 0.8x | 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 37 days
- Sell — Sell when price breaks below the lowest low of the last 73 days