Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Goldwind Science & Technology Co. Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Goldwind Science & Technology Co. Ltd. Class A. 9 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 8.8%, MDD -38.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -0.6%, drawdown -87.4%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 17.5%, MDD -39.6%, Sharpe 0.72, 32% exposure.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 18.1%p higher than buy and hold, while drawdown improves by 47.7%p (CAGR 8.8%, MDD -38.7%, exposure 29%).
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=59, k=1.7 |
17.5% | -39.6% | 0.72 | 0.44 | 20.2x | 54 | 32% |
| SMA 크로스오버 fast=28, slow=78 |
13.9% | -55.0% | 0.57 | 0.25 | 11.2x | 56 | 45% |
| Donchian 채널 돌파 entryN=48, exitN=35 |
12.8% | -48.2% | 0.56 | 0.27 | 9.5x | 38 | 38% |
| Supertrend period=21, mult=5 |
13.2% | -53.9% | 0.55 | 0.24 | 10.0x | 40 | 47% |
| EMA 크로스오버 fast=9, slow=38 |
10.8% | -53.3% | 0.49 | 0.20 | 6.7x | 118 | 48% |
| ROC 모멘텀 n=56, threshold=0.06 |
10.0% | -53.3% | 0.48 | 0.19 | 5.8x | 172 | 35% |
| ADX / DI 방향성 period=34, threshold=18 |
8.6% | -58.8% | 0.46 | 0.15 | 4.6x | 56 | 25% |
| Keltner 채널 돌파 emaPeriod=59, atrPeriod=23, mult=2.6 |
8.8% | -38.7% | 0.45 | 0.23 | 4.8x | 58 | 29% |
| MACD fast=18, slow=59, signal=17 |
2.1% | -65.4% | 0.23 | 0.03 | 1.5x | 180 | 52% |
| Parabolic SAR step=0.015, maxStep=0.18 |
-0.8% | -66.6% | 0.13 | -0.01 | 0.9x | 316 | 49% |
| Buy and hold | -0.6% | -87.4% | 0.21 | -0.01 | 0.9x | 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 59-day average (1.7× volatility)
- Sell — Sell when the close falls back to the 59-day middle average