Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Henan Shuanghui Investment & Development Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Henan Shuanghui Investment & Development 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 Donchian 채널 돌파 (CAGR 12.6%, MDD -50.7%).
Results by strategy
1 of 10 beat buy and hold (CAGR 11.4%, drawdown -65.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 12.6%, MDD -50.7%, Sharpe 0.48, 73% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 1.2%p higher than buy and hold, while drawdown improves by 15.0%p (CAGR 12.6%, MDD -50.7%, exposure 73%).
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=22, exitN=47 |
12.6% | -50.7% | 0.48 | 0.25 | 26.3x | 71 | 73% |
| Supertrend period=13, mult=4.7 |
11.4% | -55.5% | 0.46 | 0.20 | 19.6x | 63 | 60% |
| ROC 모멘텀 Hold-like · Exposure 100% n=2, threshold=-0.14 |
11.0% | -65.6% | 0.44 | 0.17 | 18.0x | 15 | 100% |
| SMA 크로스오버 fast=8, slow=96 |
7.0% | -55.0% | 0.40 | 0.13 | 6.5x | 114 | 53% |
| EMA 크로스오버 fast=54, slow=67 |
8.3% | -63.9% | 0.38 | 0.13 | 9.0x | 66 | 56% |
| Keltner 채널 돌파 emaPeriod=40, atrPeriod=23, mult=3.8 |
7.5% | -30.2% | 0.37 | 0.25 | 7.5x | 36 | 15% |
| 볼린저 밴드 돌파 n=36, k=3.3 |
6.6% | -29.6% | 0.34 | 0.22 | 5.8x | 32 | 12% |
| ADX / DI 방향성 period=35, threshold=13 |
6.0% | -54.4% | 0.31 | 0.11 | 5.0x | 153 | 39% |
| MACD fast=16, slow=47, signal=17 |
-0.3% | -83.5% | 0.10 | -0.00 | 0.9x | 319 | 50% |
| Parabolic SAR step=0.02, maxStep=0.2 |
-1.4% | -87.3% | 0.08 | -0.02 | 0.7x | 519 | 51% |
| Buy and hold | 11.4% | -65.6% | 0.45 | 0.17 | 19.7x | 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 22 days
- Sell — Sell when price breaks below the lowest low of the last 47 days