Trend-Following Backtester · Guide · backtest 한국어
equity · CN
SAIC Motor Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of SAIC Motor Corporation 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 볼린저 밴드 돌파 (CAGR 9.4%, MDD -39.6%).
Results by strategy
8 of 10 beat buy and hold (CAGR 4.5%, drawdown -85.1%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 10.8%, MDD -44.9%, Sharpe 0.55, 33% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 6.4%p higher than buy and hold, while drawdown improves by 40.1%p (CAGR 9.4%, MDD -39.6%, exposure 24%).
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=108, exitN=48 |
10.8% | -44.9% | 0.55 | 0.24 | 19.3x | 36 | 33% |
| Keltner 채널 돌파 emaPeriod=65, atrPeriod=21, mult=4 |
9.2% | -41.8% | 0.53 | 0.22 | 12.4x | 44 | 19% |
| 볼린저 밴드 돌파 n=47, k=2.7 |
9.4% | -39.6% | 0.53 | 0.24 | 13.2x | 78 | 24% |
| SMA 크로스오버 fast=52, slow=106 |
9.8% | -68.6% | 0.48 | 0.14 | 14.9x | 68 | 50% |
| Supertrend period=11, mult=5 |
7.9% | -72.9% | 0.41 | 0.11 | 8.9x | 77 | 55% |
| EMA 크로스오버 fast=45, slow=67 |
7.5% | -61.2% | 0.40 | 0.12 | 7.9x | 76 | 49% |
| ROC 모멘텀 n=93, threshold=0.15 |
6.2% | -62.3% | 0.38 | 0.10 | 5.7x | 194 | 25% |
| ADX / DI 방향성 period=26, threshold=10 |
4.7% | -79.7% | 0.30 | 0.06 | 3.7x | 304 | 55% |
| MACD fast=14, slow=45, signal=21 |
0.9% | -68.7% | 0.17 | 0.01 | 1.3x | 311 | 52% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-3.7% | -87.4% | -0.01 | -0.04 | 0.3x | 244 | 50% |
| Buy and hold | 4.5% | -85.1% | 0.31 | 0.05 | 3.5x | 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 108 days
- Sell — Sell when price breaks below the lowest low of the last 48 days