Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Victory Giant Technology (HuiZhou) Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Victory Giant Technology (HuiZhou) 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 38.5%, drawdown -60.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 30.6%, MDD -55.6%, Sharpe 0.78, 76% 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=43, exitN=91 |
30.6% | -55.6% | 0.78 | 0.55 | 19.6x | 16 | 76% |
| Supertrend period=21, mult=4.8 |
22.8% | -58.8% | 0.67 | 0.39 | 9.9x | 28 | 58% |
| ADX / DI 방향성 period=29, threshold=11 |
21.3% | -60.2% | 0.65 | 0.35 | 8.6x | 106 | 55% |
| 볼린저 밴드 돌파 n=58, k=1.1 |
20.1% | -49.6% | 0.65 | 0.41 | 7.7x | 54 | 44% |
| EMA 크로스오버 fast=38, slow=184 |
21.3% | -66.2% | 0.65 | 0.32 | 8.6x | 24 | 70% |
| SMA 크로스오버 fast=24, slow=178 |
20.5% | -49.6% | 0.64 | 0.41 | 8.0x | 24 | 63% |
| ROC 모멘텀 n=130, threshold=0 |
18.8% | -61.9% | 0.60 | 0.30 | 6.8x | 116 | 64% |
| Parabolic SAR step=0.015, maxStep=0.16 |
16.3% | -79.2% | 0.57 | 0.21 | 5.4x | 186 | 50% |
| Keltner 채널 돌파 emaPeriod=16, atrPeriod=9, mult=2.8 |
10.2% | -37.9% | 0.54 | 0.27 | 2.9x | 20 | 8% |
| MACD fast=15, slow=59, signal=15 |
9.7% | -73.9% | 0.43 | 0.13 | 2.8x | 132 | 49% |
| Buy and hold | 38.5% | -60.8% | 0.86 | 0.63 | 37.7x | 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 43 days
- Sell — Sell when price breaks below the lowest low of the last 91 days