Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Stonehill Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Stonehill Technology Co., Ltd. Class A. 10 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 11.7%, MDD -11.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR 8.6%, drawdown -87.5%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 11.7%, MDD -11.7%, Sharpe 0.98, 1% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 16.3%, MDD -33.5%, exposure 5%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 75.8%p (CAGR 11.7%, MDD -11.7%, exposure 1%).
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=4, atrPeriod=7, mult=3.1 |
11.7% | -11.7% | 0.98 | 1.00 | 8.0x | 4 | 1% |
| 볼린저 밴드 돌파 n=12, k=3.3 |
11.6% | -19.3% | 0.93 | 0.60 | 7.8x | 4 | 1% |
| Donchian 채널 돌파 entryN=100, exitN=2 |
16.3% | -33.5% | 0.87 | 0.49 | 17.0x | 54 | 5% |
| Supertrend period=15, mult=2.1 |
15.6% | -54.3% | 0.60 | 0.29 | 15.4x | 192 | 43% |
| SMA 크로스오버 fast=42, slow=215 |
14.4% | -77.8% | 0.56 | 0.18 | 12.5x | 20 | 46% |
| ADX / DI 방향성 period=7, threshold=37 |
11.1% | -66.6% | 0.52 | 0.17 | 7.2x | 178 | 20% |
| MACD fast=15, slow=45, signal=16 |
12.1% | -80.1% | 0.50 | 0.15 | 8.6x | 208 | 47% |
| EMA 크로스오버 fast=36, slow=129 |
11.6% | -82.7% | 0.49 | 0.14 | 7.9x | 28 | 46% |
| ROC 모멘텀 n=19, threshold=0.09 |
10.6% | -68.5% | 0.49 | 0.15 | 6.6x | 290 | 22% |
| Parabolic SAR step=0.015, maxStep=0.12 |
9.3% | -78.0% | 0.43 | 0.12 | 5.3x | 272 | 46% |
| Buy and hold | 8.6% | -87.5% | 0.42 | 0.10 | 4.7x | 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 4-day average + 3.1× volatility (Keltner top)
- Sell — Sell when the close falls back to the 4-day average