Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Medical System Holdings Ltd. backtest
10 trend-following strategies were compared on the full daily history of China Medical System Holdings Ltd.. 5 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.9%, MDD -31.3%).
Results by strategy
5 of 10 beat buy and hold (CAGR 9.0%, drawdown -72.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.9%, MDD -31.3%, Sharpe 0.65, 27% exposure.
CAGR reference leader: Supertrend — CAGR 12.4%, MDD -49.6%, exposure 51%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 41.0%p (CAGR 11.9%, MDD -31.3%, exposure 27%).
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=115, exitN=21 |
11.9% | -31.3% | 0.65 | 0.38 | 6.0x | 26 | 27% |
| 볼린저 밴드 돌파 n=41, k=2.5 |
12.0% | -34.7% | 0.61 | 0.35 | 6.1x | 56 | 31% |
| Keltner 채널 돌파 emaPeriod=42, atrPeriod=20, mult=3.4 |
10.6% | -32.7% | 0.61 | 0.32 | 4.9x | 32 | 22% |
| Supertrend period=9, mult=4.2 |
12.4% | -49.6% | 0.56 | 0.25 | 6.3x | 45 | 51% |
| ADX / DI 방향성 period=23, threshold=26 |
8.0% | -30.8% | 0.54 | 0.26 | 3.4x | 40 | 15% |
| SMA 크로스오버 fast=40, slow=94 |
9.2% | -57.5% | 0.45 | 0.16 | 4.1x | 46 | 52% |
| EMA 크로스오버 fast=22, slow=255 |
7.8% | -62.0% | 0.41 | 0.13 | 3.3x | 26 | 52% |
| ROC 모멘텀 n=98, threshold=0.12 |
4.7% | -58.7% | 0.31 | 0.08 | 2.1x | 120 | 34% |
| MACD fast=50, slow=52, signal=10 |
3.2% | -66.7% | 0.26 | 0.05 | 1.7x | 139 | 50% |
| Parabolic SAR step=0.005, maxStep=0.14 |
0.7% | -72.0% | 0.18 | 0.01 | 1.1x | 125 | 47% |
| Buy and hold | 9.0% | -72.3% | 0.42 | 0.13 | 3.9x | 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 115 days
- Sell — Sell when price breaks below the lowest low of the last 21 days