Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hebei Yangyuan Zhihui Beverage Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hebei Yangyuan Zhihui Beverage Co., Ltd. Class A. 4 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 4.6%, MDD -40.8%).
Results by strategy
4 of 10 beat buy and hold (CAGR 1.2%, drawdown -58.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.6%, MDD -40.8%, Sharpe 0.30, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.4%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 4.6%, MDD -40.8%, exposure 61%).
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=55, exitN=87 |
4.6% | -40.8% | 0.30 | 0.11 | 1.5x | 11 | 61% |
| SMA 크로스오버 fast=46, slow=109 |
3.9% | -41.9% | 0.28 | 0.09 | 1.4x | 17 | 48% |
| Supertrend period=14, mult=4.7 |
3.1% | -54.5% | 0.25 | 0.06 | 1.3x | 22 | 55% |
| Keltner 채널 돌파 emaPeriod=28, atrPeriod=29, mult=2 |
2.4% | -46.7% | 0.22 | 0.05 | 1.2x | 42 | 22% |
| EMA 크로스오버 fast=26, slow=129 |
-0.8% | -48.2% | 0.11 | -0.02 | 0.9x | 19 | 47% |
| ROC 모멘텀 n=128, threshold=-0.02 |
-1.6% | -55.0% | 0.09 | -0.03 | 0.9x | 65 | 54% |
| MACD fast=8, slow=23, signal=19 |
-1.3% | -51.9% | 0.09 | -0.03 | 0.9x | 132 | 50% |
| ADX / DI 방향성 period=21, threshold=9 |
-3.5% | -61.5% | 0.03 | -0.06 | 0.7x | 102 | 55% |
| 볼린저 밴드 돌파 n=36, k=2.4 |
-1.8% | -51.5% | 0.02 | -0.04 | 0.9x | 34 | 22% |
| Parabolic SAR step=0.01, maxStep=0.26 |
-6.8% | -65.9% | -0.12 | -0.10 | 0.6x | 112 | 43% |
| Buy and hold | 1.2% | -58.8% | 0.22 | 0.02 | 1.1x | 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 55 days
- Sell — Sell when price breaks below the lowest low of the last 87 days