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. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.2%, MDD -11.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR 9.5%, drawdown -87.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 12.8%, MDD -19.3%, Sharpe 0.98, 2% exposure.
CAGR reference leader: Supertrend — CAGR 16.3%, MDD -54.3%, exposure 43%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 3.3%p higher than buy and hold, while drawdown improves by 68.2%p (CAGR 11.2%, 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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=11, k=3.1 |
12.8% | -19.3% | 0.98 | 0.66 | 9.4x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=4, atrPeriod=14, mult=3.7 |
11.2% | -11.7% | 0.96 | 0.96 | 7.3x | 4 | 1% |
| Donchian 채널 돌파 entryN=85, exitN=2 |
16.0% | -30.8% | 0.84 | 0.52 | 15.9x | 62 | 6% |
| Supertrend period=15, mult=2.1 |
16.3% | -54.3% | 0.61 | 0.30 | 16.7x | 191 | 43% |
| SMA 크로스오버 fast=43, slow=213 |
13.9% | -78.8% | 0.55 | 0.18 | 11.2x | 20 | 46% |
| MACD fast=13, slow=50, signal=14 |
13.0% | -76.1% | 0.52 | 0.17 | 9.8x | 237 | 47% |
| ADX / DI 방향성 period=16, threshold=15 |
11.3% | -76.6% | 0.48 | 0.15 | 7.4x | 235 | 46% |
| EMA 크로스오버 fast=59, slow=144 |
10.4% | -83.9% | 0.46 | 0.12 | 6.3x | 18 | 45% |
| Parabolic SAR step=0.015, maxStep=0.12 |
9.7% | -78.0% | 0.44 | 0.12 | 5.6x | 269 | 46% |
| ROC 모멘텀 n=81, threshold=0.13 |
7.8% | -73.8% | 0.40 | 0.11 | 4.1x | 122 | 29% |
| Buy and hold | 9.5% | -87.5% | 0.44 | 0.11 | 5.4x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 11-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 11-day middle average