Trend-Following Backtester · Guide · backtest 한국어
equity · US
Yum China Holdings, Inc. backtest
10 trend-following strategies were compared on the full daily history of Yum China Holdings, Inc.. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 6.2%, MDD -26.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 5.7%, drawdown -57.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 4.2%, MDD -15.0%, Sharpe 0.45, 8% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 6.2%, MDD -26.8%, exposure 53%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.5%p lower than buy and hold, while drawdown improves by 42.9%p (CAGR 6.2%, MDD -26.8%, exposure 53%).
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=33, k=3.4 |
4.2% | -15.0% | 0.45 | 0.28 | 1.5x | 10 | 8% |
| SMA 크로스오버 fast=39, slow=118 |
6.2% | -26.8% | 0.38 | 0.23 | 1.8x | 22 | 53% |
| EMA 크로스오버 fast=18, slow=84 |
5.8% | -33.8% | 0.36 | 0.17 | 1.7x | 27 | 52% |
| Donchian 채널 돌파 entryN=65, exitN=95 |
3.9% | -37.0% | 0.28 | 0.11 | 1.5x | 13 | 60% |
| Keltner 채널 돌파 emaPeriod=12, atrPeriod=17, mult=3.4 |
1.6% | -17.7% | 0.26 | 0.09 | 1.2x | 6 | 2% |
| ADX / DI 방향성 period=33, threshold=26 |
0.5% | -19.9% | 0.11 | 0.03 | 1.1x | 8 | 3% |
| Supertrend period=19, mult=4.2 |
-1.1% | -54.3% | 0.08 | -0.02 | 0.9x | 42 | 55% |
| ROC 모멘텀 n=118, threshold=0.05 |
-2.3% | -61.4% | -0.00 | -0.04 | 0.8x | 96 | 45% |
| MACD fast=29, slow=39, signal=26 |
-4.6% | -74.6% | -0.07 | -0.06 | 0.6x | 85 | 45% |
| Parabolic SAR step=0.005, maxStep=0.32 |
-7.8% | -72.1% | -0.22 | -0.11 | 0.4x | 78 | 47% |
| Buy and hold | 5.7% | -57.9% | 0.34 | 0.10 | 1.7x | 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 33-day average (3.4× volatility)
- Sell — Sell when the close falls back to the 33-day middle average