Trend-Following Backtester · Guide · backtest 한국어
equity · HK
Meitu, Inc backtest
10 trend-following strategies were compared on the full daily history of Meitu, Inc. 10 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 15.5%, MDD -39.7%).
Results by strategy
10 of 10 beat buy and hold (CAGR -5.9%, drawdown -96.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.5%, MDD -39.7%, Sharpe 0.66, 7% exposure.
CAGR reference leader: 볼린저 밴드 돌파 — CAGR 16.7%, MDD -50.0%, exposure 21%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 21.4%p higher than buy and hold, while drawdown improves by 56.7%p (CAGR 15.5%, MDD -39.7%, 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 |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=105, exitN=7 |
15.5% | -39.7% | 0.66 | 0.39 | 4.0x | 12 | 7% |
| 볼린저 밴드 돌파 n=17, k=2.4 |
16.7% | -50.0% | 0.59 | 0.33 | 4.5x | 66 | 21% |
| EMA 크로스오버 fast=32, slow=143 |
14.3% | -55.8% | 0.52 | 0.26 | 3.7x | 14 | 34% |
| Supertrend period=12, mult=2.7 |
14.3% | -64.3% | 0.51 | 0.22 | 3.6x | 71 | 40% |
| Parabolic SAR step=0.02, maxStep=0.24 |
13.8% | -70.5% | 0.51 | 0.20 | 3.5x | 181 | 43% |
| Keltner 채널 돌파 emaPeriod=35, atrPeriod=18, mult=4 |
11.6% | -54.9% | 0.49 | 0.21 | 2.9x | 18 | 12% |
| ROC 모멘텀 n=132, threshold=0.14 |
11.8% | -65.6% | 0.47 | 0.18 | 2.9x | 56 | 28% |
| SMA 크로스오버 fast=59, slow=219 |
10.6% | -64.7% | 0.45 | 0.16 | 2.7x | 12 | 33% |
| ADX / DI 방향성 period=9, threshold=21 |
10.1% | -87.3% | 0.44 | 0.12 | 2.5x | 178 | 40% |
| MACD fast=13, slow=39, signal=11 |
-1.8% | -86.2% | 0.23 | -0.02 | 0.8x | 150 | 50% |
| Buy and hold | -5.9% | -96.3% | 0.25 | -0.06 | 0.6x | 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 105 days
- Sell — Sell when price breaks below the lowest low of the last 7 days