Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guangzhou Haozhi Industrial Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Guangzhou Haozhi Industrial Co., Ltd Class A. 1 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 28.9%, MDD -64.4%).
Results by strategy
1 of 10 beat buy and hold (CAGR 28.1%, drawdown -80.6%).
Sharpe leader (same as main): Supertrend — CAGR 28.9%, MDD -64.4%, Sharpe 0.78, 57% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.8%p higher than buy and hold, while drawdown improves by 16.2%p (CAGR 28.9%, MDD -64.4%, exposure 57%).
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=3, mult=2.1 |
28.9% | -64.4% | 0.78 | 0.45 | 14.6x | 102 | 57% |
| Parabolic SAR step=0.015, maxStep=0.12 |
26.7% | -74.3% | 0.76 | 0.36 | 12.2x | 160 | 49% |
| Donchian 채널 돌파 entryN=5, exitN=110 |
23.6% | -81.7% | 0.66 | 0.29 | 9.4x | 29 | 90% |
| Keltner 채널 돌파 emaPeriod=41, atrPeriod=14, mult=2.4 |
18.0% | -54.5% | 0.63 | 0.33 | 5.7x | 42 | 30% |
| ADX / DI 방향성 period=16, threshold=22 |
16.5% | -55.3% | 0.58 | 0.30 | 5.0x | 80 | 39% |
| SMA 크로스오버 fast=26, slow=138 |
14.2% | -58.0% | 0.52 | 0.24 | 4.1x | 22 | 47% |
| ROC 모멘텀 n=138, threshold=0.12 |
12.9% | -54.7% | 0.50 | 0.24 | 3.6x | 61 | 39% |
| 볼린저 밴드 돌파 n=43, k=1.8 |
12.4% | -64.1% | 0.50 | 0.19 | 3.4x | 52 | 34% |
| MACD fast=9, slow=22, signal=7 |
11.8% | -71.8% | 0.48 | 0.16 | 3.3x | 228 | 52% |
| EMA 크로스오버 fast=15, slow=217 |
11.0% | -70.6% | 0.46 | 0.16 | 3.0x | 17 | 41% |
| Buy and hold | 28.1% | -80.6% | 0.72 | 0.35 | 13.6x | 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) — 3-day volatility, 2.1× band
- Sell — Sell when price drops below the trend line (flips down)