Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Yantai Jereh Oilfield Services Group Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Yantai Jereh Oilfield Services Group Co., Ltd. Class A. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.7%, MDD -59.1%).
Results by strategy
0 of 10 beat buy and hold (CAGR 17.8%, drawdown -77.6%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 17.2%, MDD -63.7%, Sharpe 0.61, 88% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 13.9%p (CAGR 14.7%, MDD -59.1%, exposure 56%).
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=8, exitN=72 |
17.2% | -63.7% | 0.61 | 0.27 | 13.8x | 51 | 88% |
| Supertrend period=28, mult=3.8 |
14.7% | -59.1% | 0.60 | 0.25 | 9.7x | 61 | 56% |
| SMA 크로스오버 fast=12, slow=58 |
14.0% | -64.3% | 0.57 | 0.22 | 8.7x | 77 | 58% |
| 볼린저 밴드 돌파 n=42, k=3.4 |
6.3% | -30.5% | 0.53 | 0.21 | 2.8x | 10 | 9% |
| ADX / DI 방향성 period=29, threshold=33 |
5.8% | -25.0% | 0.52 | 0.23 | 2.6x | 10 | 6% |
| EMA 크로스오버 fast=11, slow=30 |
11.0% | -49.2% | 0.49 | 0.22 | 5.6x | 114 | 59% |
| ROC 모멘텀 n=112, threshold=-0.03 |
10.6% | -67.4% | 0.47 | 0.16 | 5.3x | 143 | 65% |
| MACD fast=17, slow=57, signal=19 |
9.7% | -58.8% | 0.46 | 0.16 | 4.6x | 162 | 52% |
| Parabolic SAR step=0.01, maxStep=0.28 |
8.3% | -54.0% | 0.42 | 0.15 | 3.7x | 218 | 54% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=26, mult=1.1 |
7.6% | -62.7% | 0.41 | 0.12 | 3.4x | 174 | 43% |
| Buy and hold | 17.8% | -77.6% | 0.60 | 0.23 | 15.1x | 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 8 days
- Sell — Sell when price breaks below the lowest low of the last 72 days