Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Suzhou Dongshan Precision Manufacturing Co., Ltd Class A backtest
10 trend-following strategies were compared on the full daily history of Suzhou Dongshan Precision Manufacturing Co., Ltd Class A. 4 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 21.2%, MDD -48.2%).
Results by strategy
4 of 10 beat buy and hold (CAGR 18.5%, drawdown -80.7%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 16.8%, MDD -50.0%, Sharpe 0.71, 23% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 21.2%, MDD -48.2%, exposure 54%.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.7%p lower than buy and hold, while drawdown improves by 30.7%p (CAGR 21.2%, MDD -48.2%, 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 |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=36, atrPeriod=31, mult=3 |
16.8% | -50.0% | 0.71 | 0.34 | 12.6x | 48 | 23% |
| SMA 크로스오버 fast=23, slow=174 |
21.2% | -48.2% | 0.70 | 0.44 | 22.9x | 33 | 54% |
| ROC 모멘텀 n=164, threshold=-0.04 |
21.0% | -64.5% | 0.69 | 0.33 | 22.4x | 91 | 60% |
| Donchian 채널 돌파 entryN=106, exitN=75 |
19.6% | -52.4% | 0.67 | 0.37 | 18.4x | 17 | 55% |
| EMA 크로스오버 fast=25, slow=248 |
19.4% | -61.6% | 0.66 | 0.31 | 18.0x | 19 | 56% |
| 볼린저 밴드 돌파 n=27, k=2.7 |
13.9% | -51.4% | 0.66 | 0.27 | 8.3x | 56 | 19% |
| MACD fast=17, slow=58, signal=17 |
16.2% | -60.5% | 0.60 | 0.27 | 11.6x | 160 | 50% |
| Supertrend period=26, mult=3 |
15.3% | -72.7% | 0.58 | 0.21 | 10.2x | 108 | 49% |
| ADX / DI 방향성 period=21, threshold=17 |
12.3% | -61.6% | 0.52 | 0.20 | 6.6x | 134 | 37% |
| Parabolic SAR step=0.04, maxStep=0.04 |
9.1% | -79.8% | 0.43 | 0.11 | 4.1x | 184 | 51% |
| Buy and hold | 18.5% | -80.7% | 0.60 | 0.23 | 15.9x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 36-day average + 3× volatility (Keltner top)
- Sell — Sell when the close falls back to the 36-day average