Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangzhou Great Power Energy & Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guangzhou Great Power Energy & Technology Co., Ltd. Class A. 3 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 24.9%, MDD -55.8%).
Results by strategy
3 of 10 beat buy and hold (CAGR 24.8%, drawdown -82.7%).
Sharpe leader (same as main): Supertrend — CAGR 37.2%, MDD -63.8%, Sharpe 0.91, 50% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 18.9%p (CAGR 24.9%, MDD -55.8%, exposure 47%).
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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=9, mult=3.2 |
37.2% | -63.8% | 0.91 | 0.58 | 36.3x | 54 | 50% |
| Parabolic SAR step=0.015, maxStep=0.26 |
33.0% | -62.4% | 0.86 | 0.53 | 25.6x | 186 | 48% |
| 볼린저 밴드 돌파 n=39, k=3.5 |
16.9% | -23.1% | 0.73 | 0.73 | 5.9x | 8 | 9% |
| EMA 크로스오버 fast=12, slow=29 |
24.9% | -55.8% | 0.72 | 0.45 | 12.4x | 64 | 47% |
| MACD fast=17, slow=59, signal=11 |
21.7% | -69.0% | 0.67 | 0.31 | 9.3x | 129 | 50% |
| Donchian 채널 돌파 entryN=43, exitN=22 |
20.1% | -54.6% | 0.64 | 0.37 | 8.0x | 38 | 38% |
| Keltner 채널 돌파 emaPeriod=46, atrPeriod=26, mult=3.6 |
17.2% | -40.6% | 0.63 | 0.42 | 6.1x | 24 | 21% |
| ADX / DI 방향성 period=37, threshold=10 |
15.6% | -62.4% | 0.55 | 0.25 | 5.2x | 82 | 51% |
| SMA 크로스오버 fast=22, slow=120 |
13.2% | -50.4% | 0.50 | 0.26 | 4.1x | 30 | 48% |
| ROC 모멘텀 n=75, threshold=0.1 |
12.4% | -53.3% | 0.49 | 0.23 | 3.8x | 88 | 39% |
| Buy and hold | 24.8% | -82.7% | 0.68 | 0.30 | 12.4x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 9-day volatility, 3.2× band
- Sell — Sell when price drops below the trend line (flips down)