Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Wuhan Guide Infrared Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Wuhan Guide Infrared Co. Ltd. Class A. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 16.8%, MDD -41.5%).
Results by strategy
7 of 10 beat buy and hold (CAGR 11.3%, drawdown -75.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.3%, MDD -55.5%, Sharpe 0.72, 25% exposure.
CAGR reference leader: EMA 크로스오버 — CAGR 18.6%, MDD -47.0%, exposure 46%.
Return/drawdown alternative: Supertrend — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 19.7%p (CAGR 16.8%, MDD -41.5%, exposure 53%).
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=270, exitN=52 |
15.3% | -55.5% | 0.72 | 0.27 | 10.0x | 12 | 25% |
| EMA 크로스오버 fast=58, slow=213 |
18.6% | -47.0% | 0.71 | 0.40 | 15.9x | 10 | 46% |
| SMA 크로스오버 fast=44, slow=178 |
17.1% | -56.3% | 0.69 | 0.30 | 13.0x | 14 | 42% |
| Supertrend period=11, mult=2.2 |
16.8% | -41.5% | 0.65 | 0.41 | 12.4x | 140 | 53% |
| MACD fast=15, slow=25, signal=17 |
16.5% | -58.8% | 0.64 | 0.28 | 11.9x | 192 | 48% |
| ROC 모멘텀 n=139, threshold=0.11 |
13.6% | -51.2% | 0.60 | 0.27 | 7.9x | 90 | 36% |
| Parabolic SAR step=0.01, maxStep=0.1 |
13.6% | -60.6% | 0.56 | 0.23 | 7.9x | 184 | 51% |
| 볼린저 밴드 돌파 n=19, k=2.5 |
10.1% | -47.9% | 0.54 | 0.21 | 4.8x | 80 | 21% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=11, mult=1.6 |
10.0% | -61.6% | 0.48 | 0.16 | 4.7x | 88 | 38% |
| ADX / DI 방향성 period=18, threshold=24 |
7.4% | -30.7% | 0.44 | 0.24 | 3.2x | 86 | 23% |
| Buy and hold | 11.3% | -75.2% | 0.47 | 0.15 | 5.7x | 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 270 days
- Sell — Sell when price breaks below the lowest low of the last 52 days