Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Henan Shuanghui Investment & Development Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Henan Shuanghui Investment & Development Co., Ltd. Class A. 2 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 12.4%, MDD -49.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 10.9%, drawdown -65.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.4%, MDD -49.8%, Sharpe 0.48, 75% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.5%p higher than buy and hold, while drawdown improves by 15.8%p (CAGR 12.4%, MDD -49.8%, exposure 75%).
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=19, exitN=50 |
12.4% | -49.8% | 0.48 | 0.25 | 26.1x | 75 | 75% |
| Supertrend period=27, mult=4 |
11.2% | -50.6% | 0.46 | 0.22 | 19.3x | 86 | 53% |
| EMA 크로스오버 fast=58, slow=124 |
8.9% | -65.3% | 0.39 | 0.14 | 10.6x | 36 | 56% |
| 볼린저 밴드 돌파 n=54, k=3.3 |
8.2% | -31.5% | 0.39 | 0.26 | 9.0x | 32 | 16% |
| SMA 크로스오버 fast=12, slow=99 |
6.6% | -53.6% | 0.39 | 0.12 | 5.9x | 94 | 53% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=27, mult=4 |
7.2% | -30.2% | 0.35 | 0.24 | 6.9x | 34 | 15% |
| ADX / DI 방향성 period=14, threshold=39 |
7.0% | -31.0% | 0.35 | 0.22 | 6.5x | 38 | 10% |
| ROC 모멘텀 n=115, threshold=-0.03 |
6.9% | -74.4% | 0.34 | 0.09 | 6.4x | 224 | 61% |
| Parabolic SAR step=0.005, maxStep=0.02 |
5.8% | -52.9% | 0.31 | 0.11 | 4.8x | 138 | 48% |
| MACD fast=24, slow=73, signal=24 |
4.2% | -48.8% | 0.30 | 0.09 | 3.2x | 204 | 48% |
| Buy and hold | 10.9% | -65.6% | 0.44 | 0.17 | 18.0x | 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 19 days
- Sell — Sell when price breaks below the lowest low of the last 50 days