Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Sungrow Power Supply Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Sungrow Power Supply Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 30.8%, MDD -41.5%).
Results by strategy
9 of 10 beat buy and hold (CAGR 23.8%, drawdown -81.3%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 32.4%, MDD -44.3%, Sharpe 1.03, 23% exposure.
CAGR reference leader: Supertrend — CAGR 36.7%, MDD -58.1%, exposure 48%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 8.6%p higher than buy and hold, while drawdown improves by 36.9%p (CAGR 30.8%, MDD -41.5%, exposure 27%).
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=51, atrPeriod=8, mult=3.5 |
32.4% | -44.3% | 1.03 | 0.73 | 64.5x | 22 | 23% |
| ADX / DI 방향성 period=21, threshold=30 |
27.9% | -49.4% | 0.97 | 0.57 | 38.4x | 24 | 17% |
| Supertrend period=34, mult=4.7 |
36.7% | -58.1% | 0.97 | 0.63 | 103.3x | 40 | 48% |
| 볼린저 밴드 돌파 n=48, k=2.8 |
28.3% | -59.9% | 0.95 | 0.47 | 40.1x | 24 | 22% |
| Donchian 채널 돌파 entryN=79, exitN=19 |
30.8% | -41.5% | 0.95 | 0.74 | 53.4x | 32 | 27% |
| SMA 크로스오버 fast=47, slow=53 |
34.4% | -64.1% | 0.90 | 0.54 | 80.6x | 106 | 52% |
| ROC 모멘텀 n=63, threshold=0.05 |
31.9% | -59.4% | 0.88 | 0.54 | 61.0x | 136 | 45% |
| EMA 크로스오버 fast=13, slow=21 |
31.7% | -68.8% | 0.86 | 0.46 | 59.6x | 108 | 52% |
| MACD fast=8, slow=56, signal=26 |
29.6% | -60.5% | 0.84 | 0.49 | 46.7x | 168 | 54% |
| Parabolic SAR step=0.005, maxStep=0.38 |
20.2% | -57.2% | 0.66 | 0.35 | 15.2x | 122 | 50% |
| Buy and hold | 23.8% | -81.3% | 0.67 | 0.29 | 23.8x | 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 51-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 51-day average