Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Weichai Power Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Weichai Power Co., Ltd. Class A. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.4%, MDD -40.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 10.1%, drawdown -79.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 16.4%, MDD -40.0%, Sharpe 0.71, 46% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 6.3%p higher than buy and hold, while drawdown improves by 39.2%p (CAGR 16.4%, MDD -40.0%, exposure 46%).
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=109, exitN=62 |
16.4% | -40.0% | 0.71 | 0.41 | 18.8x | 18 | 46% |
| EMA 크로스오버 fast=21, slow=178 |
14.9% | -50.0% | 0.62 | 0.30 | 14.6x | 27 | 56% |
| Supertrend period=15, mult=2.7 |
13.8% | -54.6% | 0.61 | 0.25 | 12.2x | 138 | 49% |
| SMA 크로스오버 fast=46, slow=171 |
14.0% | -44.2% | 0.60 | 0.32 | 12.7x | 25 | 54% |
| ROC 모멘텀 n=117, threshold=0.02 |
11.5% | -45.6% | 0.53 | 0.25 | 8.2x | 105 | 54% |
| Keltner 채널 돌파 emaPeriod=94, atrPeriod=26, mult=1.9 |
9.9% | -55.7% | 0.49 | 0.18 | 6.2x | 78 | 44% |
| Parabolic SAR step=0.01, maxStep=0.24 |
9.7% | -54.1% | 0.47 | 0.18 | 6.0x | 228 | 51% |
| ADX / DI 방향성 period=59, threshold=7 |
9.8% | -63.7% | 0.47 | 0.15 | 6.1x | 143 | 57% |
| 볼린저 밴드 돌파 n=37, k=1.9 |
6.4% | -47.0% | 0.38 | 0.14 | 3.3x | 116 | 35% |
| MACD fast=13, slow=24, signal=14 |
6.4% | -57.6% | 0.36 | 0.11 | 3.3x | 282 | 52% |
| Buy and hold | 10.1% | -79.2% | 0.45 | 0.13 | 6.4x | 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 109 days
- Sell — Sell when price breaks below the lowest low of the last 62 days