Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Nanya New Material Technology Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Nanya New Material Technology Co., Ltd. Class A. 9 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is MACD (CAGR 35.0%, MDD -29.3%).
Results by strategy
9 of 10 beat buy and hold (CAGR 23.6%, drawdown -81.0%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 48.7%, MDD -41.0%, Sharpe 1.00, 70% exposure.
Return/drawdown alternative: MACD — CAGR is 25.1%p higher than buy and hold, while drawdown improves by 40.0%p (CAGR 35.0%, MDD -29.3%, exposure 47%).
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=7, exitN=20 |
48.7% | -41.0% | 1.00 | 1.19 | 10.6x | 42 | 70% |
| Parabolic SAR step=0.03, maxStep=0.36 |
40.5% | -37.6% | 0.97 | 1.08 | 7.6x | 164 | 48% |
| MACD fast=7, slow=44, signal=10 |
35.0% | -29.3% | 0.90 | 1.19 | 6.0x | 112 | 47% |
| ADX / DI 방향성 period=15, threshold=11 |
37.4% | -45.2% | 0.87 | 0.83 | 6.6x | 90 | 62% |
| ROC 모멘텀 n=107, threshold=-0.03 |
36.7% | -62.9% | 0.86 | 0.58 | 6.4x | 37 | 54% |
| Supertrend period=19, mult=1.9 |
32.9% | -43.0% | 0.85 | 0.76 | 5.4x | 74 | 48% |
| SMA 크로스오버 fast=7, slow=184 |
34.9% | -60.2% | 0.84 | 0.58 | 5.9x | 17 | 54% |
| EMA 크로스오버 fast=8, slow=201 |
30.1% | -65.4% | 0.78 | 0.46 | 4.8x | 17 | 47% |
| 볼린저 밴드 돌파 n=51, k=2.8 |
23.6% | -43.8% | 0.71 | 0.54 | 3.5x | 14 | 26% |
| Keltner 채널 돌파 emaPeriod=58, atrPeriod=19, mult=3.1 |
22.9% | -52.7% | 0.68 | 0.43 | 3.4x | 18 | 33% |
| Buy and hold | 23.6% | -81.0% | 0.66 | 0.29 | 3.5x | 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 7 days
- Sell — Sell when price breaks below the lowest low of the last 20 days