Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Grace Fabric Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Grace Fabric Technology 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 SMA 크로스오버 (CAGR 48.6%, MDD -61.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 55.4%, drawdown -80.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 38.7%, MDD -29.4%, Sharpe 1.31, 11% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 48.6%, MDD -61.2%, exposure 41%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 16.6%p lower than buy and hold, while drawdown improves by 51.1%p (CAGR 48.6%, MDD -61.2%, exposure 41%).
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=8 |
38.7% | -29.4% | 1.31 | 1.32 | 10.3x | 14 | 11% |
| SMA 크로스오버 fast=24, slow=212 |
48.6% | -61.2% | 1.17 | 0.79 | 16.8x | 5 | 41% |
| EMA 크로스오버 fast=57, slow=172 |
47.4% | -61.2% | 1.16 | 0.78 | 15.9x | 3 | 39% |
| ROC 모멘텀 n=136, threshold=0.05 |
46.0% | -61.2% | 1.12 | 0.75 | 14.8x | 71 | 40% |
| Parabolic SAR step=0.015, maxStep=0.38 |
48.0% | -73.2% | 1.12 | 0.66 | 16.3x | 114 | 50% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=18, mult=3.1 |
31.7% | -50.9% | 1.04 | 0.62 | 7.1x | 22 | 15% |
| Supertrend period=5, mult=2.8 |
41.9% | -79.8% | 1.00 | 0.52 | 12.1x | 50 | 53% |
| 볼린저 밴드 돌파 n=51, k=2.4 |
29.8% | -58.8% | 0.94 | 0.51 | 6.4x | 18 | 22% |
| ADX / DI 방향성 period=37, threshold=22 |
30.2% | -57.4% | 0.92 | 0.53 | 6.5x | 14 | 27% |
| MACD fast=19, slow=43, signal=17 |
29.1% | -74.8% | 0.84 | 0.39 | 6.2x | 66 | 50% |
| Buy and hold | 55.4% | -80.5% | 1.06 | 0.69 | 23.0x | 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 8 days