Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Sany Heavy Equipment International Holdings Co., Ltd. backtest
10 trend-following strategies were compared on the full daily history of Sany Heavy Equipment International Holdings Co., Ltd.. 5 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 5.3%, MDD -31.0%).
Results by strategy
5 of 10 beat buy and hold (CAGR 2.8%, drawdown -89.3%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.3%, MDD -50.0%, Sharpe 0.58, 12% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.5%p higher than buy and hold, while drawdown improves by 39.3%p (CAGR 5.3%, MDD -31.0%, exposure 7%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=19, k=2.8 |
9.3% | -50.0% | 0.58 | 0.19 | 4.4x | 52 | 12% |
| Donchian 채널 돌파 entryN=139, exitN=4 |
5.9% | -32.8% | 0.46 | 0.18 | 2.6x | 48 | 10% |
| Keltner 채널 돌파 emaPeriod=23, atrPeriod=20, mult=3.7 |
5.3% | -31.0% | 0.41 | 0.17 | 2.4x | 22 | 7% |
| EMA 크로스오버 fast=40, slow=158 |
5.1% | -62.9% | 0.32 | 0.08 | 2.3x | 28 | 46% |
| Supertrend period=12, mult=4.2 |
3.5% | -74.7% | 0.27 | 0.05 | 1.8x | 58 | 52% |
| ROC 모멘텀 n=133, threshold=0 |
2.7% | -70.7% | 0.24 | 0.04 | 1.5x | 130 | 48% |
| SMA 크로스오버 fast=44, slow=194 |
2.6% | -60.8% | 0.24 | 0.04 | 1.5x | 26 | 46% |
| Parabolic SAR step=0.01, maxStep=0.22 |
2.2% | -82.7% | 0.22 | 0.03 | 1.4x | 217 | 49% |
| ADX / DI 방향성 period=9, threshold=32 |
1.7% | -48.6% | 0.19 | 0.04 | 1.3x | 150 | 19% |
| MACD fast=10, slow=23, signal=9 |
-2.2% | -86.3% | 0.08 | -0.03 | 0.7x | 351 | 50% |
| Buy and hold | 2.8% | -89.3% | 0.29 | 0.03 | 1.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 19-day average (2.8× volatility)
- Sell — Sell when the close falls back to the 19-day middle average