Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Guanghui Energy Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Guanghui Energy Co., Ltd. Class A. 4 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 12.6%, MDD -55.0%).
Results by strategy
4 of 10 beat buy and hold (CAGR 10.0%, drawdown -81.5%).
Sharpe leader (same as main): Supertrend — CAGR 12.6%, MDD -55.0%, Sharpe 0.54, 47% exposure.
Return/drawdown alternative: Supertrend — CAGR is 2.7%p higher than buy and hold, while drawdown improves by 26.5%p (CAGR 12.6%, MDD -55.0%, 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 |
|---|---|---|---|---|---|---|---|
| Supertrend period=16, mult=3.4 |
12.6% | -55.0% | 0.54 | 0.23 | 22.8x | 129 | 47% |
| 볼린저 밴드 돌파 n=56, k=1.7 |
11.1% | -63.6% | 0.51 | 0.17 | 15.9x | 109 | 35% |
| Donchian 채널 돌파 entryN=24, exitN=26 |
11.1% | -70.6% | 0.48 | 0.16 | 15.7x | 117 | 55% |
| EMA 크로스오버 fast=55, slow=78 |
10.1% | -75.7% | 0.46 | 0.13 | 12.6x | 46 | 48% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=25, mult=1.8 |
9.3% | -65.9% | 0.46 | 0.14 | 10.4x | 137 | 34% |
| SMA 크로스오버 fast=11, slow=209 |
9.3% | -82.1% | 0.44 | 0.11 | 10.4x | 59 | 46% |
| Parabolic SAR step=0.005, maxStep=0.2 |
7.8% | -63.0% | 0.40 | 0.12 | 7.3x | 213 | 48% |
| ROC 모멘텀 n=114, threshold=0.12 |
7.7% | -76.8% | 0.40 | 0.10 | 7.0x | 178 | 33% |
| MACD fast=19, slow=38, signal=17 |
6.6% | -53.5% | 0.36 | 0.12 | 5.4x | 273 | 52% |
| ADX / DI 방향성 period=19, threshold=16 |
4.3% | -78.8% | 0.29 | 0.05 | 3.0x | 307 | 41% |
| Buy and hold | 10.0% | -81.5% | 0.44 | 0.12 | 12.1x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 16-day volatility, 3.4× band
- Sell — Sell when price drops below the trend line (flips down)