Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Dongfang Electric Corporation Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Dongfang Electric Corporation Limited Class A. 6 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 8.3%, MDD -57.3%).
Results by strategy
6 of 10 beat buy and hold (CAGR 3.6%, drawdown -86.4%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 8.3%, MDD -57.3%, Sharpe 0.40, 61% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.7%p higher than buy and hold, while drawdown improves by 29.1%p (CAGR 8.3%, MDD -57.3%, exposure 61%).
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=56 |
8.3% | -57.3% | 0.40 | 0.14 | 11.6x | 78 | 61% |
| Supertrend period=5, mult=4.1 |
7.4% | -71.2% | 0.38 | 0.10 | 8.9x | 116 | 60% |
| SMA 크로스오버 fast=10, slow=66 |
5.8% | -73.2% | 0.34 | 0.08 | 5.7x | 160 | 53% |
| EMA 크로스오버 fast=13, slow=72 |
5.8% | -69.3% | 0.34 | 0.08 | 5.6x | 132 | 53% |
| 볼린저 밴드 돌파 n=44, k=1.6 |
4.0% | -73.6% | 0.28 | 0.05 | 3.4x | 174 | 38% |
| ADX / DI 방향성 period=30, threshold=13 |
3.9% | -67.8% | 0.28 | 0.06 | 3.2x | 252 | 47% |
| ROC 모멘텀 n=57, threshold=0.01 |
2.9% | -82.6% | 0.25 | 0.03 | 2.4x | 362 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=27, mult=2 |
2.6% | -77.4% | 0.23 | 0.03 | 2.2x | 158 | 36% |
| Parabolic SAR step=0.01, maxStep=0.38 |
1.6% | -80.0% | 0.21 | 0.02 | 1.6x | 378 | 51% |
| MACD fast=19, slow=48, signal=17 |
-0.0% | -86.8% | 0.16 | -0.00 | 1.0x | 318 | 52% |
| Buy and hold | 3.6% | -86.4% | 0.30 | 0.04 | 3.0x | 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 56 days