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%).
Results by strategy
1 of 10 beat buy and hold (CAGR 14.5%, drawdown -74.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 14.7%, 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 · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=16, exitN=57 |
14.7% | -68.2% | 0.57 | 0.22 | 88.2x | 91 | 78% |
| ROC 모멘텀 Hold-like · Exposure 99% n=5, threshold=-0.13 |
14.1% | -74.7% | 0.53 | 0.19 | 75.3x | 79 | 99% |
| SMA 크로스오버 fast=49, slow=286 |
11.3% | -48.5% | 0.51 | 0.23 | 33.3x | 28 | 61% |
| EMA 크로스오버 fast=51, slow=232 |
11.1% | -53.7% | 0.50 | 0.21 | 31.7x | 42 | 63% |
| Supertrend period=36, mult=4.7 |
8.3% | -62.2% | 0.42 | 0.13 | 13.7x | 99 | 49% |
| 볼린저 밴드 돌파 n=59, k=1.4 |
6.9% | -64.9% | 0.38 | 0.11 | 8.8x | 160 | 41% |
| Keltner 채널 돌파 emaPeriod=52, atrPeriod=24, mult=2.4 |
5.2% | -52.3% | 0.33 | 0.10 | 5.3x | 128 | 32% |
| MACD fast=19, slow=41, signal=16 |
4.1% | -74.4% | 0.28 | 0.06 | 3.8x | 362 | 50% |
| ADX / DI 방향성 period=39, threshold=18 |
3.7% | -60.4% | 0.27 | 0.06 | 3.2x | 96 | 26% |
| Parabolic SAR step=0.005, maxStep=0.36 |
0.3% | -75.3% | 0.15 | 0.00 | 1.1x | 252 | 51% |
| Buy and hold | 14.5% | -74.9% | 0.54 | 0.19 | 83.2x | 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 16 days
- Sell — Sell when price breaks below the lowest low of the last 57 days