Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Yunnan Energy New Material (Group) Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Yunnan Energy New Material (Group) Co., Ltd. Class A. 8 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 32.5%, MDD -30.9%).

Data 2016-09-14 ~ 2026-07-31daily bars 2,394 (9.9 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 18.4%, drawdown -92.1%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 32.5%, MDD -30.9%, Sharpe 1.07, 34% exposure.

CAGR reference leader: 볼린저 밴드 돌파 — CAGR 33.4%, MDD -32.7%, exposure 38%.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 14.1%p higher than buy and hold, while drawdown improves by 61.2%p (CAGR 32.5%, MDD -30.9%, exposure 34%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=54, atrPeriod=10, mult=2.3
32.5%-30.9%1.071.0516.1x2434%
볼린저 밴드 돌파
n=58, k=1.3
33.4%-32.7%1.061.0217.3x3038%
Donchian 채널 돌파
entryN=50, exitN=38
32.8%-42.6%1.010.7716.5x1843%
SMA 크로스오버
fast=21, slow=89
32.3%-47.4%0.980.6815.8x1846%
EMA 크로스오버
fast=19, slow=62
29.2%-42.0%0.920.7012.6x2846%
ROC 모멘텀
n=20, threshold=0.06
24.8%-49.0%0.880.518.9x16036%
ADX / DI 방향성
period=29, threshold=11
27.0%-52.6%0.870.5110.6x8646%
Supertrend
period=16, mult=4.1
23.8%-59.9%0.780.408.2x3250%
MACD
fast=13, slow=42, signal=16
7.8%-85.8%0.390.092.1x11654%
Parabolic SAR
step=0.04, maxStep=0.34
7.4%-80.6%0.380.092.0x30952%
Buy and hold18.4%-92.1%0.600.205.3x1100%
1x 10x 2017 2019 2021 2023 2025 볼린저 밴드 돌파Keltner 채널 돌파Buy and hold
Keltner 채널 돌파 (Sharpe leader), 볼린저 밴드 돌파 (CAGR reference), Buy and hold.
0% -23% -46% -69% -92% 2017 2019 2021 2023 2025 Buy and hold볼린저 밴드 돌파Keltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -30.9% (2021-01-05 → 2021-05-13), recovered after 157 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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