Trend-Following Backtester · Guide · backtest 한국어
equity · CN
LONGi Green Energy Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of LONGi Green Energy Technology Co., Ltd. Class A. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 30.6%, MDD -37.6%).
Results by strategy
10 of 10 beat buy and hold (CAGR 18.2%, drawdown -83.8%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 30.6%, MDD -37.6%, Sharpe 0.99, 41% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 32.6%, MDD -40.2%, exposure 53%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 12.4%p higher than buy and hold, while drawdown improves by 46.1%p (CAGR 30.6%, MDD -37.6%, exposure 41%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=59, k=1.2 |
30.6% | -37.6% | 0.99 | 0.81 | 46.8x | 52 | 41% |
| Donchian 채널 돌파 entryN=26, exitN=29 |
32.6% | -40.2% | 0.97 | 0.81 | 57.8x | 42 | 53% |
| EMA 크로스오버 fast=6, slow=44 |
31.2% | -48.4% | 0.96 | 0.65 | 49.9x | 90 | 50% |
| Keltner 채널 돌파 emaPeriod=48, atrPeriod=24, mult=0.8 |
29.8% | -45.7% | 0.94 | 0.65 | 42.5x | 96 | 45% |
| ADX / DI 방향성 period=34, threshold=11 |
28.6% | -42.5% | 0.91 | 0.67 | 37.4x | 102 | 49% |
| MACD fast=17, slow=50, signal=19 |
25.4% | -63.6% | 0.84 | 0.40 | 26.0x | 137 | 53% |
| ROC 모멘텀 n=47, threshold=0.08 |
24.2% | -46.3% | 0.84 | 0.52 | 22.7x | 116 | 37% |
| Supertrend period=14, mult=3.2 |
24.3% | -73.8% | 0.83 | 0.33 | 22.8x | 73 | 49% |
| SMA 크로스오버 fast=50, slow=152 |
26.3% | -57.4% | 0.82 | 0.46 | 28.9x | 22 | 56% |
| Parabolic SAR step=0.005, maxStep=0.12 |
19.5% | -69.9% | 0.70 | 0.28 | 12.9x | 111 | 50% |
| Buy and hold | 18.2% | -83.8% | 0.60 | 0.22 | 11.1x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 59-day average (1.2× volatility)
- Sell — Sell when the close falls back to the 59-day middle average