Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hangzhou Binjiang Real Estate Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Hangzhou Binjiang Real Estate Group Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
2 of 10 beat buy and hold (CAGR 4.3%, drawdown -72.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.7%, MDD -63.0%, Sharpe 0.39, 66% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=51, exitN=82 |
7.7% | -63.0% | 0.39 | 0.12 | 3.9x | 26 | 66% |
| SMA 크로스오버 fast=59, slow=124 |
6.4% | -59.8% | 0.36 | 0.11 | 3.1x | 46 | 48% |
| ROC 모멘텀 n=148, threshold=0.13 |
4.3% | -70.4% | 0.29 | 0.06 | 2.1x | 152 | 29% |
| ADX / DI 방향성 period=30, threshold=34 |
2.4% | -39.0% | 0.27 | 0.06 | 1.5x | 8 | 3% |
| Parabolic SAR step=0.005, maxStep=0.34 |
1.9% | -75.2% | 0.22 | 0.03 | 1.4x | 139 | 45% |
| EMA 크로스오버 fast=56, slow=104 |
1.4% | -70.7% | 0.21 | 0.02 | 1.3x | 44 | 48% |
| Supertrend period=19, mult=2.5 |
0.2% | -63.2% | 0.17 | 0.00 | 1.0x | 149 | 44% |
| MACD fast=17, slow=29, signal=11 |
0.2% | -80.3% | 0.17 | 0.00 | 1.0x | 265 | 51% |
| 볼린저 밴드 돌파 n=58, k=1.3 |
0.4% | -68.5% | 0.15 | 0.01 | 1.1x | 96 | 35% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=16, mult=3.5 |
0.9% | -44.8% | 0.14 | 0.02 | 1.2x | 34 | 10% |
| Buy and hold | 4.3% | -72.8% | 0.32 | 0.06 | 2.2x | 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 51 days
- Sell — Sell when price breaks below the lowest low of the last 82 days