Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangdong Fenghua Advanced Technology (Holding) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangdong Fenghua Advanced Technology (Holding) 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 SMA 크로스오버 (CAGR 15.3%, MDD -65.7%).
Results by strategy
6 of 10 beat buy and hold (CAGR 12.1%, drawdown -90.2%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 14.9%, MDD -65.7%, Sharpe 0.66, 20% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 17.0%, MDD -73.6%, exposure 68%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.8%p higher than buy and hold, while drawdown improves by 24.5%p (CAGR 15.3%, MDD -65.7%, exposure 52%).
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=22, atrPeriod=22, mult=2.3 |
14.9% | -65.7% | 0.66 | 0.23 | 62.0x | 126 | 20% |
| Donchian 채널 돌파 entryN=38, exitN=77 |
17.0% | -73.6% | 0.59 | 0.23 | 106.5x | 53 | 68% |
| 볼린저 밴드 돌파 n=22, k=1.1 |
14.7% | -69.7% | 0.59 | 0.21 | 57.8x | 360 | 41% |
| SMA 크로스오버 fast=61, slow=213 |
15.3% | -65.7% | 0.57 | 0.23 | 68.9x | 33 | 52% |
| Supertrend period=22, mult=3.4 |
14.4% | -66.5% | 0.56 | 0.22 | 53.4x | 162 | 48% |
| EMA 크로스오버 fast=27, slow=61 |
14.3% | -71.6% | 0.54 | 0.20 | 52.9x | 87 | 51% |
| ROC 모멘텀 n=132, threshold=-0.04 |
11.9% | -79.9% | 0.48 | 0.15 | 27.9x | 227 | 57% |
| ADX / DI 방향성 period=19, threshold=37 |
6.4% | -41.6% | 0.45 | 0.15 | 6.3x | 36 | 6% |
| Parabolic SAR step=0.02, maxStep=0.18 |
9.0% | -74.6% | 0.42 | 0.12 | 12.9x | 587 | 51% |
| MACD fast=10, slow=32, signal=14 |
7.4% | -85.6% | 0.38 | 0.09 | 8.4x | 466 | 52% |
| Buy and hold | 12.1% | -90.2% | 0.48 | 0.13 | 30.0x | 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 22-day average + 2.3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 22-day average