Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Inner Mongolia Yili Industrial Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Inner Mongolia Yili Industrial Group Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 12.3%, MDD -56.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.1%, drawdown -78.6%).
Sharpe leader (same as main): Supertrend — CAGR 12.8%, MDD -63.4%, Sharpe 0.57, 56% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.3%p lower than buy and hold, while drawdown improves by 15.3%p (CAGR 12.3%, MDD -56.7%, exposure 84%).
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=9, mult=3.3 |
12.8% | -63.4% | 0.57 | 0.20 | 38.5x | 149 | 56% |
| Keltner 채널 돌파 emaPeriod=69, atrPeriod=20, mult=2.1 |
10.5% | -51.8% | 0.53 | 0.20 | 20.7x | 123 | 38% |
| EMA 크로스오버 fast=76, slow=109 |
11.6% | -57.6% | 0.53 | 0.20 | 28.2x | 42 | 58% |
| ADX / DI 방향성 period=32, threshold=26 |
6.7% | -36.1% | 0.52 | 0.19 | 7.3x | 38 | 10% |
| Donchian 채널 돌파 entryN=14, exitN=74 |
12.3% | -56.7% | 0.52 | 0.22 | 34.4x | 75 | 84% |
| 볼린저 밴드 돌파 n=77, k=2.9 |
7.8% | -50.5% | 0.47 | 0.15 | 9.8x | 50 | 25% |
| SMA 크로스오버 fast=46, slow=181 |
9.6% | -54.2% | 0.47 | 0.18 | 16.3x | 44 | 55% |
| ROC 모멘텀 n=132, threshold=-0.09 |
8.5% | -74.5% | 0.42 | 0.11 | 12.0x | 231 | 75% |
| Parabolic SAR step=0.005, maxStep=0.12 |
4.8% | -68.3% | 0.31 | 0.07 | 4.2x | 239 | 49% |
| MACD fast=39, slow=50, signal=17 |
4.5% | -64.8% | 0.30 | 0.07 | 3.8x | 267 | 50% |
| Buy and hold | 16.1% | -78.6% | 0.59 | 0.20 | 92.6x | 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) — 9-day volatility, 3.3× band
- Sell — Sell when price drops below the trend line (flips down)