Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangdong Haid Group Co., Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Guangdong Haid Group Co., Limited Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 10.9%, MDD -42.2%).
Results by strategy
0 of 10 beat buy and hold (CAGR 12.7%, drawdown -59.8%).
Sharpe leader (same as main): Supertrend — CAGR 10.9%, MDD -42.2%, Sharpe 0.55, 60% exposure.
Return/drawdown alternative: Supertrend — CAGR is 1.8%p lower than buy and hold, while drawdown improves by 17.7%p (CAGR 10.9%, MDD -42.2%, exposure 60%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=23, mult=4.7 |
10.9% | -42.2% | 0.55 | 0.26 | 5.7x | 33 | 60% |
| Donchian 채널 돌파 entryN=111, exitN=75 |
10.7% | -45.2% | 0.52 | 0.24 | 5.5x | 16 | 53% |
| EMA 크로스오버 fast=58, slow=151 |
10.3% | -48.1% | 0.50 | 0.21 | 5.2x | 22 | 61% |
| SMA 크로스오버 fast=11, slow=166 |
9.9% | -42.9% | 0.49 | 0.23 | 4.9x | 36 | 58% |
| ADX / DI 방향성 period=21, threshold=33 |
4.5% | -22.0% | 0.45 | 0.20 | 2.1x | 14 | 6% |
| 볼린저 밴드 돌파 n=53, k=1.2 |
4.7% | -47.0% | 0.32 | 0.10 | 2.2x | 104 | 45% |
| ROC 모멘텀 n=55, threshold=-0.03 |
3.2% | -69.1% | 0.26 | 0.05 | 1.7x | 221 | 66% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=29, mult=2.3 |
2.9% | -59.0% | 0.25 | 0.05 | 1.6x | 64 | 34% |
| MACD fast=19, slow=43, signal=18 |
1.0% | -64.8% | 0.17 | 0.02 | 1.2x | 184 | 49% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-0.4% | -56.6% | 0.11 | -0.01 | 0.9x | 140 | 52% |
| Buy and hold | 12.7% | -59.8% | 0.53 | 0.21 | 7.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 23-day volatility, 4.7× band
- Sell — Sell when price drops below the trend line (flips down)