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.. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 11.6%, MDD -33.6%).
Results by strategy
6 of 10 beat buy and hold (CAGR 8.2%, drawdown -72.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.2%, MDD -35.6%, Sharpe 0.65, 29% exposure.
CAGR reference leader: Supertrend — CAGR 13.0%, MDD -48.6%, exposure 53%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.0%p higher than buy and hold, while drawdown improves by 36.7%p (CAGR 11.6%, MDD -33.6%, exposure 24%).
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=110, exitN=25 |
12.2% | -35.6% | 0.65 | 0.34 | 6.3x | 24 | 29% |
| Keltner 채널 돌파 emaPeriod=43, atrPeriod=9, mult=3 |
11.6% | -33.6% | 0.65 | 0.35 | 5.8x | 34 | 24% |
| 볼린저 밴드 돌파 n=40, k=2.8 |
12.1% | -33.8% | 0.64 | 0.36 | 6.2x | 48 | 27% |
| Supertrend period=9, mult=3.4 |
13.0% | -48.6% | 0.57 | 0.27 | 7.0x | 60 | 53% |
| ADX / DI 방향성 period=22, threshold=28 |
7.3% | -36.5% | 0.52 | 0.20 | 3.1x | 32 | 13% |
| MACD fast=38, slow=49, signal=39 |
11.0% | -52.5% | 0.50 | 0.21 | 5.3x | 82 | 50% |
| SMA 크로스오버 fast=52, slow=84 |
10.2% | -59.7% | 0.48 | 0.17 | 4.7x | 51 | 53% |
| ROC 모멘텀 n=75, threshold=0.24 |
6.3% | -40.6% | 0.43 | 0.16 | 2.7x | 92 | 19% |
| EMA 크로스오버 fast=39, slow=40 |
7.2% | -62.4% | 0.39 | 0.12 | 3.0x | 60 | 54% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.6% | -72.0% | 0.17 | 0.01 | 1.1x | 126 | 47% |
| Buy and hold | 8.2% | -72.3% | 0.40 | 0.11 | 3.5x | 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 110 days
- Sell — Sell when price breaks below the lowest low of the last 25 days