Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Ruyi Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of China Ruyi Holdings Limited. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
9 of 10 beat buy and hold (CAGR -17.0%, drawdown -99.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 6.4%, MDD -87.9%, Sharpe 0.36, 36% 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=94, exitN=70 |
6.4% | -87.9% | 0.36 | 0.07 | 5.3x | 36 | 36% |
| 볼린저 밴드 돌파 n=24, k=3.4 |
5.3% | -85.1% | 0.32 | 0.06 | 4.0x | 70 | 10% |
| SMA 크로스오버 fast=58, slow=193 |
0.5% | -85.5% | 0.30 | 0.01 | 1.1x | 38 | 41% |
| EMA 크로스오버 fast=27, slow=213 |
1.1% | -83.8% | 0.28 | 0.01 | 1.3x | 34 | 33% |
| Parabolic SAR step=0.045, maxStep=0.24 |
-4.7% | -99.6% | 0.21 | -0.05 | 0.3x | 581 | 42% |
| ROC 모멘텀 n=137, threshold=0.03 |
-7.2% | -94.6% | 0.18 | -0.08 | 0.1x | 234 | 39% |
| Supertrend period=12, mult=4.9 |
-8.2% | -99.9% | 0.18 | -0.08 | 0.1x | 126 | 50% |
| ADX / DI 방향성 period=36, threshold=10 |
-11.0% | -98.7% | 0.11 | -0.11 | 0.0x | 219 | 45% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=14, mult=1.9 |
-14.5% | -99.9% | -0.05 | -0.15 | 0.0x | 148 | 25% |
| MACD fast=12, slow=43, signal=15 |
-19.6% | -99.9% | -0.10 | -0.20 | 0.0x | 331 | 52% |
| Buy and hold | -17.0% | -99.9% | 0.18 | -0.17 | 0.0x | 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 94 days
- Sell — Sell when price breaks below the lowest low of the last 70 days