Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Everbright Environment Group Limited backtest
10 trend-following strategies were compared on the full daily history of China Everbright Environment Group Limited. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 15.6%, MDD -48.0%).
Results by strategy
9 of 10 beat buy and hold (CAGR 7.2%, drawdown -89.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 18.3%, MDD -61.2%, Sharpe 0.63, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 11.1%p higher than buy and hold, while drawdown improves by 28.4%p (CAGR 15.6%, MDD -48.0%, exposure 52%).
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=15, exitN=27 |
18.3% | -61.2% | 0.63 | 0.30 | 89.9x | 112 | 62% |
| MACD fast=46, slow=109, signal=33 |
16.5% | -53.3% | 0.62 | 0.31 | 58.7x | 112 | 52% |
| EMA 크로스오버 fast=52, slow=98 |
16.9% | -58.0% | 0.62 | 0.29 | 64.5x | 34 | 52% |
| Supertrend period=7, mult=4.1 |
16.8% | -59.1% | 0.60 | 0.28 | 63.0x | 80 | 57% |
| SMA 크로스오버 fast=26, slow=73 |
15.6% | -48.0% | 0.59 | 0.33 | 48.7x | 87 | 52% |
| 볼린저 밴드 돌파 n=59, k=2.2 |
12.5% | -51.6% | 0.55 | 0.24 | 23.3x | 68 | 30% |
| ROC 모멘텀 n=110, threshold=-0.06 |
13.5% | -71.0% | 0.52 | 0.19 | 29.4x | 184 | 63% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=31, mult=2.1 |
11.6% | -50.5% | 0.51 | 0.23 | 18.9x | 104 | 35% |
| ADX / DI 방향성 period=32, threshold=16 |
9.5% | -67.0% | 0.45 | 0.14 | 11.3x | 124 | 29% |
| Parabolic SAR step=0.005, maxStep=0.08 |
6.7% | -62.4% | 0.36 | 0.11 | 5.6x | 200 | 52% |
| Buy and hold | 7.2% | -89.6% | 0.39 | 0.08 | 6.4x | 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 15 days
- Sell — Sell when price breaks below the lowest low of the last 27 days