Trend-Following Backtester · Guide · backtest 한국어

equity · CN

Unisplendour Co., Ltd. Class A backtest

10 trend-following strategies were compared on the full daily history of Unisplendour Co., Ltd. Class A. 3 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.6%, MDD -12.6%).

Data 1999-11-04 ~ 2026-07-31daily bars 6,606 (26.7 years)Costs 0.5%Venue SZSEMonthly snapshot 2026-07-31

Results by strategy

3 of 10 beat buy and hold (CAGR 5.7%, drawdown -86.5%).

Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 8.6%, MDD -12.6%, Sharpe 0.89, 1% exposure.

Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 73.9%p (CAGR 8.6%, MDD -12.6%, exposure 1%).

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 · parametersCAGRMDDSharpeCalmarTotalTradesExposure
Keltner 채널 돌파
emaPeriod=4, atrPeriod=6, mult=2.7
8.6%-12.6%0.890.689.0x61%
볼린저 밴드 돌파
n=14, k=3.5
7.3%-24.5%0.740.306.6x61%
Supertrend
period=25, mult=2.2
6.7%-76.5%0.360.095.7x26245%
Donchian 채널 돌파
entryN=18, exitN=48
5.4%-72.7%0.340.074.1x9566%
MACD
fast=18, slow=22, signal=16
4.2%-82.2%0.300.053.0x35152%
EMA 크로스오버
fast=15, slow=62
3.3%-70.5%0.270.052.4x11347%
SMA 크로스오버
fast=19, slow=111
2.9%-79.3%0.270.042.2x8347%
ROC 모멘텀
n=113, threshold=-0.09
1.7%-78.8%0.250.021.6x24765%
Parabolic SAR
step=0.015, maxStep=0.24
2.4%-74.7%0.240.031.9x42049%
ADX / DI 방향성
period=30, threshold=32
2.3%-57.8%0.230.041.8x144%
Buy and hold5.7%-86.5%0.360.074.4x1100%
1x 2000 2004 2008 2012 2016 2020 2024 Keltner 채널 돌파Buy and hold
Keltner 채널 돌파: Solid strategy line versus dashed buy-and-hold line. Log scale.
0% -22% -43% -65% -87% 2000 2004 2008 2012 2016 2020 2024 Buy and holdKeltner 채널 돌파
Keltner 채널 돌파 maximum drawdown -12.6% (2015-06-16 → 2015-06-23), recovered after 134 days.

Rules of the top strategy

Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.

Method and caveats

Past performance does not guarantee future returns. Parameters were selected on the same full-history sample using sharpe over 40 trials per strategy, so results contain in-sample bias. 0.5% trading costs are included; taxes, slippage and rejected orders are not.
Re-run the same setupAll asset reports

Read next