Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Yunnan Baiyao Group Co. Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Yunnan Baiyao Group Co. Ltd. Class A. 1 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.3%, MDD -48.5%).

Data 1993-12-15 ~ 2026-07-31daily bars 8,142 (32.6 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

1 of 10 beat buy and hold (CAGR 14.7%, drawdown -74.9%).

Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.9%, MDD -68.2%, Sharpe 0.57, 78% exposure.

Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.2%p higher than buy and hold, while drawdown improves by 6.6%p (CAGR 11.3%, MDD -48.5%, exposure 61%).

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
Donchian 채널 돌파
entryN=16, exitN=57
14.9%-68.2%0.570.2292.5x9178%
ROC 모멘텀
Hold-like · Exposure 99%
n=5, threshold=-0.13
14.3%-74.7%0.540.1979.0x7999%
SMA 크로스오버
fast=49, slow=286
11.3%-48.5%0.510.2333.3x2861%
EMA 크로스오버
fast=51, slow=232
11.2%-53.7%0.510.2131.7x4263%
Supertrend
period=36, mult=4.7
8.5%-62.2%0.430.1414.4x9949%
볼린저 밴드 돌파
n=59, k=1.4
7.1%-64.9%0.390.119.4x15941%
Keltner 채널 돌파
emaPeriod=52, atrPeriod=24, mult=2.4
5.2%-52.3%0.330.105.3x12832%
MACD
fast=19, slow=41, signal=16
4.3%-74.4%0.290.064.0x36150%
ADX / DI 방향성
period=39, threshold=18
3.7%-60.4%0.270.063.2x9626%
Parabolic SAR
step=0.005, maxStep=0.36
0.5%-74.9%0.160.011.2x25151%
Buy and hold14.7%-74.9%0.540.2087.3x1100%
1x 10x 100x 1994 1999 2004 2009 2014 2019 2024 Donchian 채널 돌파Buy and hold
Donchian 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -19% -37% -56% -75% 1994 1999 2004 2009 2014 2019 2024 Buy and holdDonchian 채널 돌파
Donchian 채널 돌파 maximum drawdown -68.2% (2021-02-10 → 2024-09-20), prior peak not yet recovered.

Rules of the top strategy

A new high means a trend starting; a new low means it’s over (turtle-trading style).

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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