Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Avary Holding (Shenzhen) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Avary Holding (Shenzhen) Co., Ltd. Class A. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 16.5%, MDD -25.9%).
Results by strategy
3 of 10 beat buy and hold (CAGR 20.3%, drawdown -71.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 25.6%, MDD -50.2%, Sharpe 0.75, 77% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 5.3%p higher than buy and hold, while drawdown improves by 21.1%p (CAGR 16.5%, MDD -25.9%, exposure 18%).
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=16, exitN=63 |
25.6% | -50.2% | 0.75 | 0.51 | 6.1x | 21 | 77% |
| SMA 크로스오버 fast=22, slow=33 |
22.4% | -57.7% | 0.74 | 0.39 | 5.0x | 60 | 51% |
| MACD fast=17, slow=39, signal=19 |
21.2% | -48.4% | 0.73 | 0.44 | 4.6x | 74 | 52% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=10, mult=3.8 |
16.5% | -25.9% | 0.73 | 0.64 | 3.4x | 10 | 18% |
| Supertrend period=15, mult=2.6 |
17.5% | -50.1% | 0.63 | 0.35 | 3.6x | 56 | 57% |
| ROC 모멘텀 n=149, threshold=0.13 |
16.5% | -45.3% | 0.61 | 0.36 | 3.3x | 33 | 40% |
| 볼린저 밴드 돌파 n=27, k=1.3 |
14.4% | -54.7% | 0.58 | 0.26 | 2.9x | 74 | 41% |
| ADX / DI 방향성 period=18, threshold=26 |
11.5% | -25.5% | 0.56 | 0.45 | 2.4x | 22 | 18% |
| EMA 크로스오버 fast=12, slow=174 |
14.9% | -56.7% | 0.56 | 0.26 | 3.0x | 13 | 51% |
| Parabolic SAR step=0.005, maxStep=0.36 |
2.4% | -72.3% | 0.25 | 0.03 | 1.2x | 71 | 54% |
| Buy and hold | 20.3% | -71.3% | 0.63 | 0.28 | 4.3x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 63 days