Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Hangzhou Cable Co Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Hangzhou Cable Co Ltd Class A. 5 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 17.3%, MDD -39.6%).
Results by strategy
5 of 10 beat buy and hold (CAGR 17.2%, drawdown -78.5%).
Sharpe leader (same as main): Supertrend — CAGR 21.5%, MDD -84.9%, Sharpe 0.70, 49% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 4.3%p higher than buy and hold, while drawdown improves by -6.3%p (CAGR 17.3%, MDD -39.6%, exposure 17%).
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=13, mult=2.4 |
21.5% | -84.9% | 0.70 | 0.25 | 9.4x | 103 | 49% |
| Keltner 채널 돌파 emaPeriod=27, atrPeriod=11, mult=2.5 |
17.3% | -39.6% | 0.70 | 0.44 | 6.3x | 34 | 17% |
| Donchian 채널 돌파 entryN=22, exitN=12 |
19.2% | -85.4% | 0.67 | 0.22 | 7.6x | 69 | 38% |
| MACD fast=7, slow=41, signal=9 |
18.8% | -70.8% | 0.66 | 0.27 | 7.3x | 235 | 52% |
| Parabolic SAR step=0.025, maxStep=0.12 |
18.5% | -75.6% | 0.64 | 0.24 | 7.1x | 237 | 50% |
| SMA 크로스오버 fast=6, slow=27 |
16.4% | -81.3% | 0.58 | 0.20 | 5.7x | 133 | 51% |
| 볼린저 밴드 돌파 n=44, k=3.5 |
11.7% | -37.5% | 0.58 | 0.31 | 3.6x | 12 | 11% |
| ROC 모멘텀 n=17, threshold=0 |
10.7% | -89.1% | 0.46 | 0.12 | 3.2x | 291 | 53% |
| EMA 크로스오버 fast=16, slow=108 |
7.8% | -67.0% | 0.39 | 0.12 | 2.4x | 36 | 46% |
| ADX / DI 방향성 period=13, threshold=23 |
6.5% | -86.3% | 0.36 | 0.07 | 2.1x | 131 | 35% |
| Buy and hold | 17.2% | -78.5% | 0.57 | 0.22 | 6.2x | 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) — 13-day volatility, 2.4× band
- Sell — Sell when price drops below the trend line (flips down)