Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Huagong Tech Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Huagong Tech Co., Ltd. Class A. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 11.3%, MDD -62.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 11.1%, drawdown -85.8%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 11.8%, MDD -67.8%, Sharpe 0.49, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 0.7%p higher than buy and hold, while drawdown improves by 18.0%p (CAGR 11.3%, MDD -62.4%, exposure 54%).
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=36, exitN=65 |
11.8% | -67.8% | 0.49 | 0.17 | 18.5x | 50 | 64% |
| SMA 크로스오버 fast=46, slow=213 |
11.3% | -62.4% | 0.48 | 0.18 | 16.3x | 33 | 54% |
| Parabolic SAR step=0.015, maxStep=0.02 |
9.3% | -64.5% | 0.43 | 0.14 | 10.2x | 142 | 50% |
| EMA 크로스오버 fast=23, slow=30 |
8.8% | -64.8% | 0.42 | 0.14 | 9.1x | 138 | 52% |
| ADX / DI 방향성 period=18, threshold=8 |
8.6% | -59.2% | 0.42 | 0.15 | 8.7x | 414 | 54% |
| 볼린저 밴드 돌파 n=54, k=3.4 |
5.9% | -27.2% | 0.39 | 0.21 | 4.4x | 28 | 12% |
| MACD fast=13, slow=34, signal=18 |
6.4% | -64.3% | 0.36 | 0.10 | 5.0x | 326 | 51% |
| Supertrend period=19, mult=2.2 |
6.3% | -60.9% | 0.35 | 0.10 | 4.9x | 272 | 48% |
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=20, mult=1.6 |
5.6% | -65.7% | 0.33 | 0.09 | 4.1x | 186 | 33% |
| ROC 모멘텀 n=105, threshold=-0.08 |
5.2% | -81.3% | 0.33 | 0.06 | 3.8x | 239 | 66% |
| Buy and hold | 11.1% | -85.8% | 0.46 | 0.13 | 15.6x | 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 36 days
- Sell — Sell when price breaks below the lowest low of the last 65 days