Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China Greatwall Technology Group Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of China Greatwall Technology Group Co Ltd Class A. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.0%, MDD -51.9%).
Results by strategy
8 of 10 beat buy and hold (CAGR 6.0%, drawdown -85.2%).
Sharpe leader (same as main): Supertrend — CAGR 13.7%, MDD -66.0%, Sharpe 0.56, 48% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 7.8%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 8.0%, MDD -51.9%, exposure 29%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=8, mult=2.6 |
13.7% | -66.0% | 0.56 | 0.21 | 42.8x | 204 | 48% |
| Parabolic SAR step=0.005, maxStep=0.22 |
12.3% | -69.5% | 0.52 | 0.18 | 29.3x | 210 | 46% |
| Donchian 채널 돌파 entryN=108, exitN=25 |
10.0% | -60.3% | 0.50 | 0.17 | 16.0x | 50 | 22% |
| SMA 크로스오버 fast=11, slow=24 |
11.2% | -67.2% | 0.49 | 0.17 | 22.4x | 301 | 45% |
| MACD fast=11, slow=50, signal=8 |
10.8% | -69.0% | 0.47 | 0.16 | 19.8x | 477 | 49% |
| 볼린저 밴드 돌파 n=16, k=1.4 |
9.6% | -63.9% | 0.46 | 0.15 | 14.3x | 384 | 32% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=14, mult=2.5 |
8.0% | -51.9% | 0.41 | 0.15 | 9.5x | 108 | 29% |
| ROC 모멘텀 n=109, threshold=0 |
8.6% | -76.2% | 0.41 | 0.11 | 11.0x | 274 | 44% |
| ADX / DI 방향성 period=30, threshold=26 |
5.0% | -51.7% | 0.34 | 0.10 | 4.1x | 62 | 13% |
| EMA 크로스오버 fast=29, slow=104 |
5.2% | -66.4% | 0.32 | 0.08 | 4.4x | 74 | 45% |
| Buy and hold | 6.0% | -85.2% | 0.36 | 0.07 | 5.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 8-day volatility, 2.6× band
- Sell — Sell when price drops below the trend line (flips down)