Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Yunnan Yuntianhua Co. Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Yunnan Yuntianhua Co. Ltd. Class A. 3 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 5.3%, MDD -55.6%).

Data 1997-07-09 ~ 2026-07-31daily bars 7,212 (29.1 years)Costs 0.5%Venue SSEMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 5.5%, drawdown -93.7%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.5%, MDD -65.0%, Sharpe 0.39, 43% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 1.9%p higher than buy and hold, while drawdown improves by 28.7%p (CAGR 5.3%, MDD -55.6%, exposure 20%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Donchian 채널 돌파
entryN=116, exitN=81
7.5%-65.0%0.390.118.1x3243%
SMA 크로스오버
fast=29, slow=142
7.3%-77.2%0.380.097.7x7249%
Keltner 채널 돌파
emaPeriod=56, atrPeriod=25, mult=3.6
5.3%-55.6%0.330.104.5x6620%
ADX / DI 방향성
period=18, threshold=25
5.2%-66.5%0.330.084.4x14022%
EMA 크로스오버
fast=58, slow=174
5.5%-79.3%0.330.074.8x4047%
ROC 모멘텀
n=91, threshold=0.2
5.0%-60.0%0.320.084.1x16421%
MACD
fast=19, slow=48, signal=11
4.7%-60.7%0.310.083.8x34153%
Supertrend
period=13, mult=2
4.3%-57.1%0.290.073.4x31749%
볼린저 밴드 돌파
n=36, k=2.2
3.9%-56.1%0.280.073.1x14428%
Parabolic SAR
step=0.015, maxStep=0.36
2.2%-71.1%0.230.031.9x46950%
Buy and hold5.5%-93.7%0.340.064.8x1100%
1x 10x 1998 2002 2006 2010 2014 2018 2022 2026 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -23% -47% -70% -94% 1998 2002 2006 2010 2014 2018 2022 2026 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -65.0% (2015-06-15 → 2020-05-25), recovered after 2,188 days.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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