Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Huagong Tech Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Huagong Tech 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 SMA 크로스오버 (CAGR 11.3%, MDD -62.4%).

Data 2000-06-08 ~ 2026-07-31daily bars 6,451 (26.1 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

2 of 10 beat buy and hold (CAGR 11.1%, drawdown -85.8%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.8%, MDD -67.8%, Sharpe 0.49, 64% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 11.3%, MDD -62.4%, exposure 54%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=36, exitN=65
11.8%-67.8%0.490.1718.5x5064%
SMA 크로스오버
fast=46, slow=213
11.3%-62.4%0.480.1816.3x3354%
Parabolic SAR
step=0.015, maxStep=0.02
9.3%-64.5%0.430.1410.2x14250%
EMA 크로스오버
fast=23, slow=30
8.8%-64.8%0.420.149.1x13852%
ADX / DI 방향성
period=18, threshold=8
8.6%-59.2%0.420.158.7x41454%
볼린저 밴드 돌파
n=54, k=3.4
5.9%-27.2%0.390.214.4x2812%
MACD
fast=13, slow=34, signal=18
6.4%-64.3%0.360.105.0x32651%
Supertrend
period=19, mult=2.2
6.3%-60.9%0.350.104.9x27248%
Keltner 채널 돌파
emaPeriod=36, atrPeriod=20, mult=1.6
5.6%-65.7%0.330.094.1x18633%
ROC 모멘텀
n=105, threshold=-0.08
5.2%-81.3%0.330.063.8x23966%
Buy and hold11.1%-85.8%0.460.1315.6x1100%
1x 10x 2001 2005 2009 2013 2017 2021 2025 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -86% 2001 2005 2009 2013 2017 2021 2025 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -67.8% (2000-10-24 → 2005-09-28), recovered after 2,388 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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