Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Chongqing Changan Automobile Company Limited Class A backtest
10 trend-following strategies were compared on the full daily history of Chongqing Changan Automobile Company Limited Class A. 10 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 7.8%, MDD -49.9%).
Results by strategy
10 of 10 beat buy and hold (CAGR 5.3%, drawdown -81.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.9%, MDD -55.6%, Sharpe 0.68, 44% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 12.7%p higher than buy and hold, while drawdown improves by 26.2%p (CAGR 7.8%, MDD -49.9%, exposure 23%).
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=69, exitN=53 |
17.9% | -55.6% | 0.68 | 0.32 | 123.6x | 44 | 44% |
| SMA 크로스오버 fast=10, slow=68 |
13.5% | -56.1% | 0.56 | 0.24 | 40.9x | 130 | 49% |
| EMA 크로스오버 fast=11, slow=79 |
13.5% | -60.7% | 0.55 | 0.22 | 40.5x | 114 | 48% |
| ADX / DI 방향성 period=33, threshold=22 |
9.4% | -52.2% | 0.50 | 0.18 | 14.0x | 66 | 19% |
| 볼린저 밴드 돌파 n=53, k=1.4 |
10.3% | -56.0% | 0.48 | 0.18 | 17.6x | 144 | 36% |
| Supertrend period=21, mult=2.7 |
10.2% | -68.6% | 0.47 | 0.15 | 17.0x | 206 | 48% |
| MACD fast=22, slow=50, signal=10 |
10.0% | -74.3% | 0.46 | 0.14 | 16.4x | 313 | 52% |
| Keltner 채널 돌파 emaPeriod=50, atrPeriod=16, mult=3.1 |
7.8% | -49.9% | 0.43 | 0.16 | 9.1x | 84 | 23% |
| Parabolic SAR step=0.005, maxStep=0.24 |
7.5% | -68.4% | 0.39 | 0.11 | 8.3x | 216 | 49% |
| ROC 모멘텀 n=99, threshold=0.07 |
7.3% | -69.8% | 0.38 | 0.10 | 7.8x | 266 | 39% |
| Buy and hold | 5.3% | -81.9% | 0.34 | 0.06 | 4.5x | 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 69 days
- Sell — Sell when price breaks below the lowest low of the last 53 days