Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shanghai Vital Deeptech Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shanghai Vital Deeptech Co., Ltd. Class A. 7 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 11.3%, MDD -60.4%).
Results by strategy
7 of 10 beat buy and hold (CAGR 7.0%, drawdown -89.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.3%, MDD -60.4%, Sharpe 0.49, 40% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.2%p higher than buy and hold, while drawdown improves by 29.4%p (CAGR 11.3%, MDD -60.4%, exposure 40%).
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=34, exitN=22 |
11.3% | -60.4% | 0.49 | 0.19 | 35.3x | 130 | 40% |
| 볼린저 밴드 돌파 n=47, k=1.3 |
11.0% | -73.8% | 0.48 | 0.15 | 33.0x | 184 | 39% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=13, mult=2.7 |
10.3% | -72.8% | 0.48 | 0.14 | 26.1x | 100 | 29% |
| ADX / DI 방향성 period=31, threshold=13 |
11.2% | -77.4% | 0.48 | 0.14 | 34.5x | 227 | 45% |
| SMA 크로스오버 fast=8, slow=46 |
10.6% | -78.3% | 0.46 | 0.14 | 29.0x | 226 | 48% |
| Supertrend period=9, mult=3.8 |
10.2% | -75.7% | 0.44 | 0.13 | 25.3x | 141 | 53% |
| EMA 크로스오버 fast=28, slow=154 |
8.2% | -72.8% | 0.40 | 0.11 | 13.9x | 59 | 48% |
| ROC 모멘텀 n=38, threshold=-0.02 |
5.3% | -80.1% | 0.32 | 0.07 | 5.6x | 538 | 55% |
| MACD fast=17, slow=45, signal=15 |
4.3% | -72.8% | 0.30 | 0.06 | 4.1x | 393 | 50% |
| Parabolic SAR step=0.015, maxStep=0.12 |
2.6% | -88.0% | 0.25 | 0.03 | 2.3x | 523 | 50% |
| Buy and hold | 7.0% | -89.8% | 0.38 | 0.08 | 9.7x | 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 34 days
- Sell — Sell when price breaks below the lowest low of the last 22 days