Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Beibu Gulf Port Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Beibu Gulf Port 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 Keltner 채널 돌파 (CAGR 5.3%, MDD -42.0%).
Results by strategy
1 of 10 beat buy and hold (CAGR 7.0%, drawdown -71.3%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 7.6%, MDD -73.2%, Sharpe 0.38, 75% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 0.6%p higher than buy and hold, while drawdown improves by -1.9%p (CAGR 5.3%, MDD -42.0%, exposure 4%).
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=4, exitN=13 |
7.6% | -73.2% | 0.38 | 0.10 | 9.5x | 337 | 75% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=13, mult=4 |
5.3% | -42.0% | 0.38 | 0.13 | 4.9x | 22 | 4% |
| Supertrend period=18, mult=3.4 |
3.0% | -83.2% | 0.26 | 0.04 | 2.5x | 174 | 49% |
| SMA 크로스오버 fast=32, slow=178 |
2.0% | -79.2% | 0.23 | 0.03 | 1.8x | 67 | 50% |
| EMA 크로스오버 fast=10, slow=43 |
1.9% | -90.6% | 0.23 | 0.02 | 1.8x | 201 | 49% |
| MACD fast=14, slow=44, signal=13 |
1.5% | -88.2% | 0.21 | 0.02 | 1.6x | 415 | 54% |
| ROC 모멘텀 n=13, threshold=-0.02 |
0.9% | -93.4% | 0.21 | 0.01 | 1.3x | 779 | 63% |
| ADX / DI 방향성 period=33, threshold=36 |
2.0% | -42.5% | 0.20 | 0.05 | 1.8x | 10 | 2% |
| Parabolic SAR step=0.01, maxStep=0.18 |
1.1% | -80.6% | 0.20 | 0.01 | 1.4x | 359 | 52% |
| 볼린저 밴드 돌파 n=18, k=1.5 |
1.5% | -88.1% | 0.20 | 0.02 | 1.6x | 393 | 35% |
| Buy and hold | 7.0% | -71.3% | 0.38 | 0.10 | 7.9x | 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 4 days
- Sell — Sell when price breaks below the lowest low of the last 13 days