Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shandong Hongqiao Aluminum Industry Holding Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Shandong Hongqiao Aluminum Industry Holding Company Limited Class A. 6 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 9.6%, MDD -46.0%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.6%, drawdown -73.8%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 9.6%, MDD -46.0%, Sharpe 0.53, 22% exposure.
CAGR reference leader: MACD — CAGR 11.0%, MDD -62.9%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.0%p higher than buy and hold, while drawdown improves by 27.8%p (CAGR 9.6%, MDD -46.0%, exposure 22%).
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=54, atrPeriod=17, mult=3.7 |
9.6% | -46.0% | 0.53 | 0.21 | 4.5x | 30 | 22% |
| MACD fast=15, slow=46, signal=22 |
11.0% | -62.9% | 0.49 | 0.18 | 5.5x | 145 | 53% |
| Donchian 채널 돌파 entryN=16, exitN=31 |
9.9% | -70.5% | 0.45 | 0.14 | 4.7x | 71 | 66% |
| 볼린저 밴드 돌파 n=52, k=2.6 |
8.3% | -67.2% | 0.44 | 0.12 | 3.7x | 50 | 30% |
| ROC 모멘텀 n=37, threshold=0.07 |
8.7% | -72.0% | 0.44 | 0.12 | 3.9x | 193 | 33% |
| SMA 크로스오버 fast=16, slow=204 |
8.3% | -54.2% | 0.42 | 0.15 | 3.7x | 36 | 52% |
| ADX / DI 방향성 period=27, threshold=24 |
6.3% | -52.3% | 0.39 | 0.12 | 2.7x | 42 | 22% |
| Supertrend period=31, mult=4 |
6.9% | -76.0% | 0.37 | 0.09 | 3.0x | 73 | 47% |
| EMA 크로스오버 fast=55, slow=197 |
6.3% | -55.4% | 0.36 | 0.11 | 2.7x | 20 | 51% |
| Parabolic SAR step=0.025, maxStep=0.26 |
-3.5% | -82.6% | 0.05 | -0.04 | 0.6x | 337 | 49% |
| Buy and hold | 7.6% | -73.8% | 0.39 | 0.10 | 3.3x | 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 54-day average + 3.7× volatility (Keltner top)
- Sell — Sell when the close falls back to the 54-day average