Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Tongcheng Travel Holdings Limited backtest
10 trend-following strategies were compared on the full daily history of Tongcheng Travel Holdings Limited. 3 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 0.8%, MDD -20.3%).
Results by strategy
3 of 10 beat buy and hold (CAGR -0.4%, drawdown -55.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 3.7%, MDD -57.4%, Sharpe 0.30, 80% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p higher than buy and hold, while drawdown improves by -1.6%p (CAGR 0.8%, MDD -20.3%, exposure 5%).
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=7, exitN=38 |
3.7% | -57.4% | 0.30 | 0.06 | 1.3x | 35 | 80% |
| Supertrend period=18, mult=4.7 |
3.5% | -59.9% | 0.28 | 0.06 | 1.3x | 20 | 62% |
| ADX / DI 방향성 period=34, threshold=21 |
0.8% | -20.3% | 0.13 | 0.04 | 1.1x | 6 | 5% |
| SMA 크로스오버 fast=31, slow=56 |
-3.9% | -62.5% | 0.06 | -0.06 | 0.7x | 39 | 51% |
| EMA 크로스오버 fast=32, slow=248 |
-4.8% | -62.8% | 0.00 | -0.08 | 0.7x | 12 | 57% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=12, mult=3.6 |
-1.4% | -30.6% | -0.02 | -0.05 | 0.9x | 6 | 8% |
| 볼린저 밴드 돌파 n=48, k=3.1 |
-1.7% | -28.2% | -0.04 | -0.06 | 0.9x | 8 | 7% |
| MACD fast=7, slow=27, signal=6 |
-7.1% | -80.6% | -0.08 | -0.09 | 0.6x | 200 | 50% |
| ROC 모멘텀 n=120, threshold=-0.1 |
-8.6% | -70.0% | -0.08 | -0.12 | 0.5x | 58 | 66% |
| Parabolic SAR step=0.045, maxStep=0.12 |
-11.6% | -76.8% | -0.21 | -0.15 | 0.4x | 210 | 51% |
| Buy and hold | -0.4% | -55.9% | 0.23 | -0.01 | 1.0x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 38 days