Trend-Following Backtester · Guide · backtest 한국어
equity · HK
China Feihe Limited backtest
10 trend-following strategies were compared on the full daily history of China Feihe Limited. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 9.7%, MDD -22.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR -13.4%, drawdown -88.7%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 9.7%, MDD -22.2%, Sharpe 0.56, 16% exposure.
CAGR reference leader: Supertrend — CAGR 12.1%, MDD -37.8%, exposure 33%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 23.1%p higher than buy and hold, while drawdown improves by 66.5%p (CAGR 9.7%, MDD -22.2%, exposure 16%).
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=28, k=2.7 |
9.7% | -22.2% | 0.56 | 0.44 | 1.9x | 18 | 16% |
| Supertrend period=27, mult=4.3 |
12.1% | -37.8% | 0.55 | 0.32 | 2.2x | 18 | 33% |
| ROC 모멘텀 n=143, threshold=0.1 |
8.9% | -26.2% | 0.50 | 0.34 | 1.8x | 8 | 25% |
| Donchian 채널 돌파 entryN=25, exitN=13 |
9.9% | -34.0% | 0.48 | 0.29 | 1.9x | 32 | 33% |
| SMA 크로스오버 fast=20, slow=37 |
6.3% | -50.5% | 0.36 | 0.13 | 1.5x | 37 | 39% |
| ADX / DI 방향성 period=19, threshold=19 |
5.7% | -44.1% | 0.35 | 0.13 | 1.5x | 46 | 26% |
| Keltner 채널 돌파 emaPeriod=37, atrPeriod=8, mult=3.9 |
3.4% | -22.2% | 0.31 | 0.15 | 1.3x | 4 | 5% |
| EMA 크로스오버 fast=25, slow=53 |
3.9% | -53.3% | 0.28 | 0.07 | 1.3x | 20 | 38% |
| Parabolic SAR step=0.005, maxStep=0.22 |
-2.1% | -51.4% | 0.09 | -0.04 | 0.9x | 60 | 45% |
| MACD fast=18, slow=53, signal=19 |
-8.8% | -56.6% | -0.16 | -0.16 | 0.5x | 74 | 47% |
| Buy and hold | -13.4% | -88.7% | -0.12 | -0.15 | 0.4x | 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 28-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 28-day middle average