Trend-Following Backtester · Guide · backtest 한국어

equity · CN

China Greatwall Technology Group Co Ltd Class A backtest

10 trend-following strategies were compared on the full daily history of China Greatwall Technology Group Co Ltd Class A. 8 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.1%, MDD -51.9%).

Data 1997-06-26 ~ 2026-07-31daily bars 7,221 (29.1 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

8 of 10 beat buy and hold (CAGR 5.8%, drawdown -85.2%).

Sharpe leader (same as main): Supertrend — CAGR 13.8%, MDD -66.0%, Sharpe 0.56, 48% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.0%p higher than buy and hold, while drawdown improves by 19.2%p (CAGR 8.1%, MDD -51.9%, exposure 29%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Supertrend
period=8, mult=2.6
13.8%-66.0%0.560.2142.8x20448%
Parabolic SAR
step=0.005, maxStep=0.22
12.3%-69.5%0.520.1829.3x21046%
Donchian 채널 돌파
entryN=108, exitN=25
10.0%-60.3%0.500.1716.0x5022%
SMA 크로스오버
fast=11, slow=24
11.5%-67.2%0.490.1723.5x30045%
MACD
fast=11, slow=50, signal=8
10.9%-69.0%0.480.1620.1x47649%
볼린저 밴드 돌파
n=16, k=1.4
9.6%-63.9%0.460.1514.3x38432%
Keltner 채널 돌파
emaPeriod=51, atrPeriod=14, mult=2.5
8.1%-51.9%0.410.169.5x10829%
ROC 모멘텀
n=109, threshold=0
8.6%-76.2%0.410.1111.0x27444%
ADX / DI 방향성
period=30, threshold=26
5.0%-51.7%0.340.104.1x6213%
EMA 크로스오버
fast=29, slow=104
5.2%-66.4%0.320.084.4x7445%
Buy and hold5.8%-85.2%0.350.075.1x1100%
1x 10x 1998 2002 2006 2010 2014 2018 2022 2026 SupertrendBuy and hold
Supertrend: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -21% -43% -64% -85% 1998 2002 2006 2010 2014 2018 2022 2026 Buy and holdSupertrend
Supertrend maximum drawdown -66.0% (1999-06-29 → 2003-05-16), recovered after 2,870 days.

Rules of the top strategy

Trades the direction of a volatility-based trend line that trails below/above price.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

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