Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wanxiang Qianchao Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wanxiang Qianchao Co., Ltd. Class A. 6 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 10.8%, MDD -46.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 9.4%, drawdown -87.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 10.8%, MDD -46.3%, Sharpe 0.59, 7% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 12.9%, MDD -84.3%, exposure 70%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.4%p higher than buy and hold, while drawdown improves by 40.8%p (CAGR 10.8%, MDD -46.3%, 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=11, atrPeriod=14, mult=2.3 |
10.8% | -46.3% | 0.59 | 0.23 | 28.4x | 88 | 7% |
| Supertrend period=28, mult=2.5 |
12.5% | -68.9% | 0.51 | 0.18 | 46.3x | 256 | 43% |
| Donchian 채널 돌파 entryN=18, exitN=46 |
12.9% | -84.3% | 0.50 | 0.15 | 51.8x | 102 | 70% |
| EMA 크로스오버 fast=19, slow=207 |
11.8% | -80.5% | 0.49 | 0.15 | 37.6x | 56 | 49% |
| SMA 크로스오버 fast=19, slow=51 |
11.1% | -74.6% | 0.47 | 0.15 | 30.6x | 162 | 47% |
| 볼린저 밴드 돌파 n=33, k=2.5 |
8.9% | -66.7% | 0.45 | 0.13 | 16.1x | 130 | 22% |
| ADX / DI 방향성 period=39, threshold=11 |
9.6% | -80.8% | 0.44 | 0.12 | 20.0x | 220 | 44% |
| Parabolic SAR step=0.005, maxStep=0.08 |
8.8% | -88.0% | 0.42 | 0.10 | 15.6x | 243 | 46% |
| MACD fast=22, slow=53, signal=8 |
8.5% | -86.5% | 0.41 | 0.10 | 14.3x | 437 | 50% |
| ROC 모멘텀 n=128, threshold=0.14 |
6.0% | -72.9% | 0.34 | 0.08 | 6.8x | 196 | 33% |
| Buy and hold | 9.4% | -87.1% | 0.42 | 0.11 | 18.9x | 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 11-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 11-day average