Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Galaxy Securities Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of China Galaxy Securities 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 2.8%, MDD -45.8%).
Results by strategy
1 of 10 beat buy and hold (CAGR 2.6%, drawdown -64.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 2.8%, MDD -45.8%, Sharpe 0.24, 48% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.1%p higher than buy and hold, while drawdown improves by 18.6%p (CAGR 2.8%, MDD -45.8%, exposure 48%).
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=70, exitN=71 |
2.8% | -45.8% | 0.24 | 0.06 | 1.3x | 12 | 48% |
| Keltner 채널 돌파 emaPeriod=9, atrPeriod=15, mult=3 |
1.6% | -32.6% | 0.19 | 0.05 | 1.2x | 14 | 3% |
| SMA 크로스오버 fast=56, slow=99 |
0.8% | -49.0% | 0.16 | 0.02 | 1.1x | 26 | 43% |
| Supertrend period=28, mult=2.7 |
-1.0% | -59.5% | 0.10 | -0.02 | 0.9x | 72 | 39% |
| ROC 모멘텀 n=137, threshold=0.09 |
-1.3% | -55.8% | 0.08 | -0.02 | 0.9x | 106 | 32% |
| 볼린저 밴드 돌파 n=43, k=3.5 |
-0.7% | -48.9% | 0.07 | -0.01 | 0.9x | 16 | 12% |
| EMA 크로스오버 fast=37, slow=81 |
-2.4% | -65.4% | 0.06 | -0.04 | 0.8x | 28 | 47% |
| ADX / DI 방향성 period=30, threshold=15 |
-3.0% | -62.8% | 0.04 | -0.05 | 0.8x | 50 | 47% |
| MACD fast=19, slow=32, signal=23 |
-4.5% | -70.8% | -0.02 | -0.06 | 0.6x | 94 | 50% |
| Parabolic SAR step=0.01, maxStep=0.34 |
-5.0% | -67.3% | -0.04 | -0.07 | 0.6x | 122 | 46% |
| Buy and hold | 2.6% | -64.4% | 0.26 | 0.04 | 1.3x | 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 70 days
- Sell — Sell when price breaks below the lowest low of the last 71 days