Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Huaqiang Industry Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Huaqiang Industry Co., Ltd Class A. 7 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 7.6%, MDD -19.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 4.5%, drawdown -87.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 7.6%, MDD -19.4%, Sharpe 0.69, 1% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 68.1%p (CAGR 7.6%, MDD -19.4%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=6, atrPeriod=22, mult=3.3 |
7.6% | -19.4% | 0.69 | 0.39 | 8.6x | 18 | 1% |
| ROC 모멘텀 n=5, threshold=0.24 |
5.1% | -39.0% | 0.47 | 0.13 | 4.4x | 50 | 1% |
| 볼린저 밴드 돌파 n=20, k=3.5 |
5.0% | -41.0% | 0.46 | 0.12 | 4.3x | 20 | 2% |
| ADX / DI 방향성 period=10, threshold=37 |
6.5% | -69.0% | 0.40 | 0.09 | 6.4x | 148 | 12% |
| Donchian 채널 돌파 entryN=119, exitN=15 |
6.0% | -70.0% | 0.37 | 0.09 | 5.5x | 50 | 14% |
| SMA 크로스오버 fast=31, slow=51 |
6.4% | -82.7% | 0.35 | 0.08 | 6.2x | 170 | 48% |
| Supertrend period=11, mult=2 |
6.0% | -77.3% | 0.34 | 0.08 | 5.6x | 320 | 46% |
| Parabolic SAR step=0.01, maxStep=0.26 |
4.1% | -81.5% | 0.29 | 0.05 | 3.3x | 366 | 46% |
| EMA 크로스오버 fast=24, slow=46 |
3.5% | -85.3% | 0.27 | 0.04 | 2.8x | 120 | 44% |
| MACD fast=38, slow=43, signal=14 |
1.5% | -82.6% | 0.22 | 0.02 | 1.6x | 272 | 49% |
| Buy and hold | 4.5% | -87.5% | 0.33 | 0.05 | 3.6x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 6-day average + 3.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 6-day average