Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Amlogic (Shanghai) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Amlogic (Shanghai) Co., Ltd. Class A. 10 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 0.2%, MDD -23.3%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.5%, drawdown -71.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -52.1%, Sharpe 0.41, 73% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 13.7%p higher than buy and hold, while drawdown improves by 19.3%p (CAGR 0.2%, MDD -23.3%, exposure 1%).
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=26, exitN=77 |
8.3% | -52.1% | 0.41 | 0.16 | 1.7x | 11 | 73% |
| EMA 크로스오버 fast=103, slow=173 |
5.4% | -50.6% | 0.33 | 0.11 | 1.4x | 5 | 51% |
| SMA 크로스오버 fast=55, slow=121 |
3.7% | -48.6% | 0.29 | 0.08 | 1.3x | 13 | 57% |
| MACD fast=11, slow=69, signal=6 |
3.3% | -56.8% | 0.28 | 0.06 | 1.3x | 132 | 49% |
| Supertrend period=34, mult=1.7 |
3.2% | -45.6% | 0.27 | 0.07 | 1.2x | 95 | 44% |
| ADX / DI 방향성 period=32, threshold=30 |
2.4% | -26.6% | 0.23 | 0.09 | 1.2x | 4 | 4% |
| ROC 모멘텀 n=78, threshold=-0.04 |
-0.1% | -59.4% | 0.21 | -0.00 | 1.0x | 47 | 60% |
| Parabolic SAR step=0.01, maxStep=0.12 |
-3.3% | -55.6% | 0.10 | -0.06 | 0.8x | 88 | 43% |
| 볼린저 밴드 돌파 n=16, k=3.4 |
0.2% | -23.3% | 0.07 | 0.01 | 1.0x | 2 | 1% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=18, mult=3.6 |
-2.5% | -42.7% | -0.03 | -0.06 | 0.8x | 10 | 5% |
| Buy and hold | -5.5% | -71.4% | 0.16 | -0.08 | 0.7x | 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 26 days
- Sell — Sell when price breaks below the lowest low of the last 77 days