Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Qinghai Salt Lake Industry Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Qinghai Salt Lake Industry Co., Ltd. Class A. 3 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 14.0%, MDD -58.4%).
Results by strategy
3 of 10 beat buy and hold (CAGR 11.7%, drawdown -91.6%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 7.2%, MDD -49.1%, Sharpe 0.45, 19% exposure.
CAGR reference leader: Donchian 채널 돌파 — CAGR 14.0%, MDD -58.4%, exposure 39%.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 4.6%p lower than buy and hold, while drawdown improves by 42.5%p (CAGR 14.0%, MDD -58.4%, exposure 39%).
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 |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=57, k=3.1 |
7.2% | -49.1% | 0.45 | 0.15 | 7.4x | 38 | 19% |
| ROC 모멘텀 n=197, threshold=0.01 |
9.5% | -75.9% | 0.41 | 0.12 | 13.6x | 161 | 53% |
| SMA 크로스오버 fast=29, slow=189 |
9.0% | -56.0% | 0.40 | 0.16 | 12.0x | 56 | 49% |
| Donchian 채널 돌파 entryN=126, exitN=65 |
14.0% | -58.4% | 0.36 | 0.24 | 43.6x | 34 | 39% |
| EMA 크로스오버 fast=58, slow=118 |
13.0% | -69.5% | 0.35 | 0.19 | 34.0x | 46 | 53% |
| Supertrend period=16, mult=4.6 |
11.8% | -73.0% | 0.34 | 0.16 | 25.0x | 84 | 56% |
| ADX / DI 방향성 period=28, threshold=11 |
9.8% | -69.2% | 0.30 | 0.14 | 14.8x | 248 | 51% |
| Keltner 채널 돌파 emaPeriod=53, atrPeriod=28, mult=2.5 |
10.1% | -54.4% | 0.30 | 0.19 | 16.0x | 96 | 32% |
| MACD fast=18, slow=45, signal=15 |
2.4% | -90.8% | 0.23 | 0.03 | 2.0x | 303 | 50% |
| Parabolic SAR step=0.01, maxStep=0.12 |
4.2% | -86.4% | 0.22 | 0.05 | 3.3x | 325 | 50% |
| Buy and hold | 11.7% | -91.6% | 0.36 | 0.13 | 24.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 57-day average (3.1× volatility)
- Sell — Sell when the close falls back to the 57-day middle average