Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Henan Huanghe Whirlwind Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Henan Huanghe Whirlwind Co., Ltd Class A. 6 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 11.9%, MDD -60.4%).
Results by strategy
6 of 10 beat buy and hold (CAGR 7.5%, drawdown -88.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.8%, MDD -75.8%, Sharpe 0.54, 66% exposure.
Return/drawdown alternative: Supertrend — CAGR is 7.3%p higher than buy and hold, while drawdown improves by 13.1%p (CAGR 11.9%, MDD -60.4%, exposure 47%).
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=12, exitN=24 |
14.8% | -75.8% | 0.54 | 0.20 | 46.2x | 149 | 66% |
| Supertrend period=15, mult=3.7 |
11.9% | -60.4% | 0.50 | 0.20 | 22.4x | 123 | 47% |
| EMA 크로스오버 fast=53, slow=217 |
11.0% | -69.5% | 0.47 | 0.16 | 17.9x | 25 | 46% |
| MACD fast=7, slow=25, signal=17 |
10.1% | -74.9% | 0.45 | 0.13 | 14.5x | 473 | 52% |
| ADX / DI 방향성 period=21, threshold=13 |
9.5% | -71.0% | 0.43 | 0.13 | 12.3x | 317 | 47% |
| Parabolic SAR step=0.01, maxStep=0.14 |
8.2% | -78.3% | 0.40 | 0.10 | 9.0x | 333 | 48% |
| 볼린저 밴드 돌파 n=55, k=1.3 |
6.1% | -76.5% | 0.35 | 0.08 | 5.1x | 148 | 37% |
| SMA 크로스오버 fast=12, slow=80 |
5.9% | -87.0% | 0.34 | 0.07 | 4.9x | 123 | 50% |
| ROC 모멘텀 n=124, threshold=-0.01 |
5.4% | -87.3% | 0.33 | 0.06 | 4.3x | 291 | 51% |
| Keltner 채널 돌파 emaPeriod=56, atrPeriod=15, mult=3.2 |
2.3% | -66.7% | 0.23 | 0.04 | 1.9x | 78 | 21% |
| Buy and hold | 7.5% | -88.9% | 0.40 | 0.08 | 7.4x | 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 12 days
- Sell — Sell when price breaks below the lowest low of the last 24 days