Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Longyuan Power Group Corporation Ltd Class H backtest
10 trend-following strategies were compared on the full daily history of China Longyuan Power Group Corporation Ltd Class H. 9 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 2.5%, MDD -29.9%).
Results by strategy
9 of 10 beat buy and hold (CAGR -2.6%, drawdown -77.1%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 3.6%, MDD -46.6%, Sharpe 0.30, 13% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 6.2%p higher than buy and hold, while drawdown improves by 30.5%p (CAGR 2.5%, MDD -29.9%, exposure 10%).
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=25, k=2.9 |
3.6% | -46.6% | 0.30 | 0.08 | 1.8x | 40 | 13% |
| Donchian 채널 돌파 entryN=63, exitN=48 |
3.6% | -52.4% | 0.27 | 0.07 | 1.8x | 30 | 40% |
| SMA 크로스오버 fast=49, slow=87 |
3.0% | -54.7% | 0.25 | 0.05 | 1.6x | 50 | 46% |
| ROC 모멘텀 n=105, threshold=0.09 |
2.9% | -47.8% | 0.24 | 0.06 | 1.6x | 86 | 29% |
| Keltner 채널 돌파 emaPeriod=18, atrPeriod=21, mult=2.4 |
2.5% | -29.9% | 0.23 | 0.08 | 1.5x | 46 | 10% |
| Supertrend period=8, mult=4 |
2.1% | -53.4% | 0.22 | 0.04 | 1.4x | 56 | 55% |
| EMA 크로스오버 fast=42, slow=216 |
0.8% | -64.0% | 0.16 | 0.01 | 1.1x | 28 | 37% |
| ADX / DI 방향성 period=12, threshold=38 |
1.2% | -34.3% | 0.16 | 0.03 | 1.2x | 36 | 5% |
| MACD fast=14, slow=49, signal=17 |
-2.6% | -75.0% | 0.05 | -0.03 | 0.6x | 187 | 50% |
| Parabolic SAR step=0.005, maxStep=0.1 |
-3.5% | -71.9% | 0.02 | -0.05 | 0.5x | 137 | 48% |
| Buy and hold | -2.6% | -77.1% | 0.13 | -0.03 | 0.6x | 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 25-day average (2.9× volatility)
- Sell — Sell when the close falls back to the 25-day middle average