Trend-Following Backtester · Guide · backtest 한국어
equity · CN
HMT (Xiamen) New Technical Materials Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of HMT (Xiamen) New Technical Materials Co Ltd Class A. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 17.1%, drawdown -69.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 15.8%, MDD -71.9%, Sharpe 0.59, 54% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
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=74, exitN=64 |
15.8% | -71.9% | 0.59 | 0.22 | 5.7x | 14 | 54% |
| Supertrend period=23, mult=4.6 |
14.4% | -64.5% | 0.57 | 0.22 | 4.9x | 38 | 48% |
| 볼린저 밴드 돌파 n=19, k=3.5 |
4.4% | -13.2% | 0.55 | 0.33 | 1.7x | 4 | 3% |
| ADX / DI 방향성 period=19, threshold=16 |
12.7% | -64.6% | 0.53 | 0.20 | 4.1x | 120 | 47% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=13, mult=1.1 |
11.9% | -61.5% | 0.51 | 0.19 | 3.8x | 84 | 42% |
| EMA 크로스오버 fast=17, slow=33 |
12.2% | -69.2% | 0.51 | 0.18 | 3.9x | 68 | 52% |
| SMA 크로스오버 fast=28, slow=198 |
11.8% | -53.6% | 0.50 | 0.22 | 3.7x | 13 | 50% |
| ROC 모멘텀 n=159, threshold=0.02 |
10.6% | -55.5% | 0.47 | 0.19 | 3.3x | 53 | 49% |
| Parabolic SAR step=0.03, maxStep=0.26 |
7.7% | -50.3% | 0.40 | 0.15 | 2.4x | 296 | 53% |
| MACD fast=9, slow=27, signal=13 |
4.7% | -60.4% | 0.31 | 0.08 | 1.7x | 204 | 51% |
| Buy and hold | 17.1% | -69.9% | 0.56 | 0.24 | 6.5x | 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 74 days
- Sell — Sell when price breaks below the lowest low of the last 64 days