Trend-Following Backtester · Guide · backtest 한국어
equity · CN
China United Network Communications Limited Class A backtest
10 trend-following strategies were compared on the full daily history of China United Network Communications Limited Class A. 8 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 7.8%, MDD -29.5%).
Results by strategy
8 of 10 beat buy and hold (CAGR 1.7%, drawdown -77.2%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.2%, MDD -35.4%, Sharpe 0.60, 21% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 9.5%p higher than buy and hold, while drawdown improves by 41.8%p (CAGR 7.8%, MDD -29.5%, exposure 15%).
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=137, exitN=38 |
11.2% | -35.4% | 0.60 | 0.32 | 12.6x | 24 | 21% |
| SMA 크로스오버 fast=52, slow=179 |
10.7% | -48.9% | 0.53 | 0.22 | 11.4x | 30 | 38% |
| Keltner 채널 돌파 emaPeriod=49, atrPeriod=9, mult=3.4 |
7.8% | -29.5% | 0.48 | 0.26 | 6.0x | 32 | 15% |
| 볼린저 밴드 돌파 n=74, k=3.2 |
7.7% | -36.6% | 0.46 | 0.21 | 6.0x | 32 | 18% |
| ADX / DI 방향성 period=38, threshold=33 |
5.7% | -33.7% | 0.45 | 0.17 | 3.8x | 10 | 7% |
| EMA 크로스오버 fast=50, slow=120 |
7.3% | -53.0% | 0.40 | 0.14 | 5.3x | 36 | 40% |
| ROC 모멘텀 n=147, threshold=0.03 |
6.5% | -57.0% | 0.37 | 0.11 | 4.5x | 130 | 38% |
| Supertrend period=24, mult=2.8 |
1.9% | -66.3% | 0.20 | 0.03 | 1.6x | 156 | 46% |
| MACD fast=18, slow=37, signal=18 |
-1.3% | -80.8% | 0.08 | -0.02 | 0.7x | 250 | 50% |
| Parabolic SAR step=0.01, maxStep=0.32 |
-1.9% | -66.9% | 0.05 | -0.03 | 0.6x | 274 | 48% |
| Buy and hold | 1.7% | -77.2% | 0.22 | 0.02 | 1.5x | 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 137 days
- Sell — Sell when price breaks below the lowest low of the last 38 days