Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenwan Hongyuan Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenwan Hongyuan Group Co., Ltd. Class A. 9 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 10.2%, MDD -44.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 6.2%, drawdown -83.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.2%, MDD -44.5%, Sharpe 0.54, 7% exposure.
CAGR reference leader: ADX / DI 방향성 — CAGR 11.0%, MDD -58.5%, exposure 19%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.9%p higher than buy and hold, while drawdown improves by 38.6%p (CAGR 10.2%, MDD -44.5%, exposure 7%).
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=31, atrPeriod=8, mult=3.8 |
10.2% | -44.5% | 0.54 | 0.23 | 23.6x | 20 | 7% |
| ADX / DI 방향성 period=12, threshold=31 |
11.0% | -58.5% | 0.51 | 0.19 | 29.8x | 196 | 19% |
| Supertrend period=15, mult=2.4 |
10.8% | -61.2% | 0.47 | 0.18 | 28.4x | 242 | 47% |
| Donchian 채널 돌파 entryN=91, exitN=13 |
9.0% | -66.0% | 0.46 | 0.14 | 16.8x | 74 | 16% |
| SMA 크로스오버 fast=51, slow=184 |
9.4% | -77.5% | 0.44 | 0.12 | 18.8x | 48 | 44% |
| 볼린저 밴드 돌파 n=51, k=3.5 |
8.1% | -47.3% | 0.44 | 0.17 | 12.9x | 40 | 12% |
| MACD fast=13, slow=27, signal=8 |
8.1% | -74.8% | 0.40 | 0.11 | 12.6x | 558 | 53% |
| Parabolic SAR step=0.01, maxStep=0.04 |
7.9% | -71.7% | 0.39 | 0.11 | 12.0x | 280 | 46% |
| ROC 모멘텀 n=98, threshold=0.05 |
6.6% | -70.7% | 0.36 | 0.09 | 8.1x | 262 | 37% |
| EMA 크로스오버 fast=55, slow=59 |
5.9% | -73.5% | 0.34 | 0.08 | 6.4x | 82 | 42% |
| Buy and hold | 6.2% | -83.1% | 0.36 | 0.07 | 7.2x | 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 31-day average + 3.8× volatility (Keltner top)
- Sell — Sell when the close falls back to the 31-day average