Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Satellite Communications Co. Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of China Satellite Communications 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 볼린저 밴드 돌파 (CAGR 19.5%, MDD -32.5%).
Results by strategy
0 of 10 beat buy and hold (CAGR 25.6%, drawdown -66.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.7%, MDD -37.1%, Sharpe 0.86, 4% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 22.5%, MDD -49.0%, exposure 54%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 9.9%p lower than buy and hold, while drawdown improves by 28.9%p (CAGR 19.5%, MDD -32.5%, exposure 13%).
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=84, exitN=1 |
15.7% | -37.1% | 0.86 | 0.42 | 2.9x | 22 | 4% |
| 볼린저 밴드 돌파 n=13, k=2.6 |
19.5% | -32.5% | 0.79 | 0.60 | 3.6x | 40 | 13% |
| Parabolic SAR step=0.015, maxStep=0.24 |
22.3% | -49.2% | 0.72 | 0.45 | 4.3x | 114 | 44% |
| ROC 모멘텀 n=108, threshold=-0.04 |
22.5% | -49.0% | 0.71 | 0.46 | 4.4x | 60 | 54% |
| EMA 크로스오버 fast=69, slow=108 |
22.1% | -48.1% | 0.71 | 0.46 | 4.2x | 6 | 52% |
| SMA 크로스오버 fast=40, slow=88 |
20.5% | -43.0% | 0.71 | 0.48 | 3.9x | 22 | 44% |
| Supertrend period=38, mult=4 |
19.0% | -53.6% | 0.68 | 0.35 | 3.5x | 30 | 36% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=25, mult=2.5 |
13.9% | -29.2% | 0.64 | 0.48 | 2.6x | 26 | 8% |
| ADX / DI 방향성 period=15, threshold=34 |
12.4% | -39.4% | 0.57 | 0.31 | 2.3x | 14 | 11% |
| MACD fast=6, slow=22, signal=17 |
14.9% | -53.9% | 0.57 | 0.28 | 2.7x | 132 | 49% |
| Buy and hold | 25.6% | -66.0% | 0.71 | 0.39 | 5.2x | 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 84 days
- Sell — Sell when price breaks below the lowest low of the last 1 days