Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Megmeet Electrical Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Megmeet Electrical Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 33.2%, drawdown -66.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 23.7%, MDD -48.7%, Sharpe 0.70, 80% 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=21, exitN=79 |
23.7% | -48.7% | 0.70 | 0.49 | 7.5x | 17 | 80% |
| Keltner 채널 돌파 emaPeriod=14, atrPeriod=22, mult=2.9 |
13.2% | -26.0% | 0.69 | 0.51 | 3.2x | 22 | 10% |
| Supertrend period=4, mult=3 |
21.5% | -54.5% | 0.69 | 0.39 | 6.3x | 65 | 58% |
| Parabolic SAR step=0.005, maxStep=0.34 |
20.1% | -56.5% | 0.68 | 0.36 | 5.7x | 79 | 49% |
| MACD fast=12, slow=23, signal=14 |
18.6% | -43.5% | 0.67 | 0.43 | 5.0x | 133 | 48% |
| ROC 모멘텀 n=61, threshold=-0.11 |
18.5% | -52.5% | 0.61 | 0.35 | 5.0x | 82 | 76% |
| 볼린저 밴드 돌파 n=21, k=1.4 |
13.2% | -46.8% | 0.55 | 0.28 | 3.3x | 100 | 34% |
| EMA 크로스오버 fast=32, slow=215 |
12.9% | -65.7% | 0.50 | 0.20 | 3.2x | 17 | 67% |
| SMA 크로스오버 fast=28, slow=74 |
11.6% | -53.2% | 0.48 | 0.22 | 2.8x | 36 | 54% |
| ADX / DI 방향성 period=28, threshold=11 |
10.8% | -54.7% | 0.46 | 0.20 | 2.7x | 95 | 49% |
| Buy and hold | 33.2% | -66.5% | 0.83 | 0.50 | 15.2x | 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 21 days
- Sell — Sell when price breaks below the lowest low of the last 79 days